Heterogeneous Computation of Rainbow Option prices using Fourier cosine Series Expansion under a mixed CPU-GPU Computation Framework

A. Cassagnes, Y. Chen, H. Ohashi. Heterogeneous Computation of Rainbow Option prices using Fourier cosine Series Expansion under a mixed CPU-GPU Computation Framework. Int. Syst. in Accounting, Finance and Management, 21(2):91-104, 2014. [doi]

Abstract

Abstract is missing.