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"Graphics processing unit pricing of exotic cross-currency interest rate ..."

Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson (2014)

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DOI: 10.1002/CPE.2824

access: closed

type: Journal Article

metadata version: 2020-03-02

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Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson:
Graphics processing unit pricing of exotic cross-currency interest rate derivatives with a foreign exchange volatility skew model. Concurr. Comput. Pract. Exp. 26(9): 1609-1625 (2014)

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