Massimiliano Fatica, Everett H. Phillips. Pricing American options with least squares Monte Carlo on GPUs. In Proceedings of WHPCF'13: 6th Workshop on High Performance Computational Finance, co-located with SC13, Denver, CO, USA, November 17-22, 2013. pages 5, ACM, 2013. [doi]
@inproceedings{FaticaP13,
title = {Pricing American options with least squares Monte Carlo on GPUs},
author = {Massimiliano Fatica and Everett H. Phillips},
year = {2013},
doi = {10.1145/2535557.2535564},
url = {http://doi.acm.org/10.1145/2535557.2535564},
researchr = {https://researchr.org/publication/FaticaP13},
cites = {0},
citedby = {0},
pages = {5},
booktitle = {Proceedings of WHPCF'13: 6th Workshop on High Performance Computational Finance, co-located with SC13, Denver, CO, USA, November 17-22, 2013},
publisher = {ACM},
isbn = {978-1-4503-2507-3},
}