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Fast American Option Pricing using Nonlinear Stencils

Zafar Ahmad, Reilly Browne, Rezaul Chowdhury, Rathish Das, Yushen Huang, Yimin Zhu. Fast American Option Pricing using Nonlinear Stencils. In Michel Steuwer, I-Ting Angelina Lee, Milind Chabbi, editors, Proceedings of the 29th ACM SIGPLAN Annual Symposium on Principles and Practice of Parallel Programming, PPoPP 2024, Edinburgh, United Kingdom, March 2-6, 2024. pages 316-332, ACM, 2024. [doi]

Authors

Zafar Ahmad

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Reilly Browne

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Rezaul Chowdhury

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Rathish Das

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Yushen Huang

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Yimin Zhu

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