High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500)
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scientific article; zbMATH DE number 7447594
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU |
scientific article; zbMATH DE number 7447594 |
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High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (English)
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17 December 2021
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American options
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partial integro-differential complementarity problem
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alternating direction implicit scheme
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parallel cyclic reduction
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GPU computing
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