Cache-optimal algorithms for option pricing

DOI10.1145/1644001.1644008zbMath1364.65319OpenAlexW2035937417WikidataQ113310513 ScholiaQ113310513MaRDI QIDQ2989088

Mohammad Zubair, John E. Savage

Publication date: 19 May 2017

Published in: ACM Transactions on Mathematical Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/1644001.1644008

zbMATH Keywords

memory hierarchycache blocking

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Complexity and performance of numerical algorithms (65Y20) Numerical algorithms for specific classes of architectures (65Y10)

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