Grzegorz Kozikowski, Bartlomiej Jacek Kubica. Parallel Approach to Monte Carlo Simulation for Option Price Sensitivities Using the Adjoint and Interval Analysis. In Roman Wyrzykowski, Jack Dongarra, Konrad Karczewski, Jerzy Wasniewski, editors, Parallel Processing and Applied Mathematics - 10th International Conference, PPAM 2013, Warsaw, Poland, September 8-11, 2013, Revised Selected Papers, Part II. Volume 8385 of Lecture Notes in Computer Science, pages 600-612, Springer, 2013. [doi]
Abstract is missing.