High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU

DOI10.1016/j.camwa.2021.11.012OpenAlexW3215831471MaRDI QIDQ825500

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Publication date: 17 December 2021

Published in: (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2021.11.012

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