Using GPU to Accelerate the Least-Squares Monte Carlo Method
碩士 === 國立臺灣大學 === 資訊工程學研究所 === 104 === Least-squares Monte Carlo method (LSM) is a method for pricing American options. The approach can give accurate option prices but it is computation intensive. In this thesis we use data–parallelism techniques to accelerate LSM with GPUs; that is, we will divide...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/89493919774266460624 |