Computational Science and Its Applications – ICCSA 2004

DOI10.1007/B98053zbMath1116.91324OpenAlexW4298414116WikidataQ62623817 ScholiaQ62623817MaRDI QIDQ5901305

Ruppa K. Thulasiram, Parimala Thulasiraman, Sajib Barua

Publication date: 19 July 2007

Published in: Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/b98053

zbMATH Keywords

option pricingfast Fourier transformmathematical modelingparallel algorithmdata localityfinancial derivatives

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50) Parallel numerical computation (65Y05)

Uses Software

• FFTW

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