Pricing of American Options by Adaptive Tree Methods on GPUs
An assembled algorithm for pricing American options with absolute, discrete dividends using adaptive lattice methods is described. Considerations for hardware-conscious programming on both CPU and GPU platforms are discussed, to provide a foundation for the investigation of several approaches for de...
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| Format: | Others |
| Language: | English |
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Uppsala universitet, Avdelningen för beräkningsvetenskap
2015
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-265257 |