"Pricing barrier and American options under the SABR model on the graphics ..."

Yu Tian et al. (2012)

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DOI: 10.1002/CPE.1771

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type: Journal Article

metadata version: 2024-10-06

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Yu Tian, Zili Zhu, Fima C. Klebaner, Kais Hamza:
Pricing barrier and American options under the SABR model on the graphics processing unit. Concurr. Comput. Pract. Exp. 24(8): 867-879 (2012)

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