Option pricing with COS method on graphics processing units

Bowen Zhang, Cornelis W. Oosterlee. Option pricing with COS method on graphics processing units. In 23rd IEEE International Symposium on Parallel and Distributed Processing, IPDPS 2009, Rome, Italy, May 23-29, 2009. pages 1-8, IEEE, 2009. [doi]

Authors

Bowen Zhang

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Cornelis W. Oosterlee

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