High Performance Implementation of Binomial Option Pricing

DOI10.1007/978-3-540-69839-5_64zbMath1297.91148OpenAlexW1498830150MaRDI QIDQ3512521

Mohammad Zubair, Ravi Mukkamala

Publication date: 18 July 2008

Published in: Computational Science and Its Applications – ICCSA 2008 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-69839-5_64

zbMATH Keywords

option pricingparallel computinghigh performance computingfinancial computing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Parallel algorithms in computer science (68W10)

Cites Work

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• An extended set of FORTRAN basic linear algebra subprograms
• Algorithm 656: an extended set of basic linear algebra subprograms: model implementation and test programs
• Improving performance of linear algebra algorithms for dense matrices, using algorithmic prefetch
• Option pricing: A simplified approach
• An updated set of basic linear algebra subprograms (BLAS)

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