"GPU acceleration of the stochastic grid bundling method for early-exercise ..."

Álvaro Leitao, Cornelis W. Oosterlee (2015)

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DOI: 10.1080/00207160.2015.1067689

access: closed

type: Journal Article

metadata version: 2019-10-19

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Álvaro Leitao, Cornelis W. Oosterlee:
GPU acceleration of the stochastic grid bundling method for early-exercise options. Int. J. Comput. Math. 92(12): 2433-2454 (2015)

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