Yu Tian, Zili Zhu, Fima C. Klebaner, Kais Hamza. Pricing barrier and American options under the SABR model on the graphics processing unit. Concurrency - Practice and Experience, 24(8):867-879, 2012. [doi]
@article{TianZKH12,
title = {Pricing barrier and American options under the SABR model on the graphics processing unit},
author = {Yu Tian and Zili Zhu and Fima C. Klebaner and Kais Hamza},
year = {2012},
doi = {10.1002/cpe.1771},
url = {http://dx.doi.org/10.1002/cpe.1771},
researchr = {https://researchr.org/publication/TianZKH12},
cites = {0},
citedby = {0},
journal = {Concurrency - Practice and Experience},
volume = {24},
number = {8},
pages = {867-879},
}