scientific article; zbMATH DE number 6469921

zbMath1320.91153MaRDI QIDQ5501576

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Publication date: 4 August 2015

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zbMATH Keywords

option pricinglow-discrepancy sequencesGPGPU computing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical algorithms for specific classes of architectures (65Y10)

Related Items (2)

On the Parallel Implementation of Quasi-Monte Carlo Algorithms ⋮ Energy aware performance study for a class of computationally intensive Monte Carlo algorithms

Uses Software

• CUDA

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