Lorenc Kapllani, Long Teng, Matthias Ehrhardt. A Multistep Scheme to Solve Backward Stochastic Differential Equations for Option Pricing on GPUs. In Ivan Dimov, Stefka Fidanova, editors, Advances in High Performance Computing - Results of the International Conference on "High Performance Computing", HPC 2019, Borovets, Bulgaria, September 2-6, 2019. Volume 902 of Studies in Computational Intelligence, pages 196-208, Springer, 2019. [doi]
Abstract is missing.