High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU
This paper is concerned with fast, parallel and numerically accurate pricing of two-asset
American options under the Merton jump-diffusion model, which gives rise to a two …
American options under the Merton jump-diffusion model, which gives rise to a two …
Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
P Lamotte - arXiv preprint arXiv:2207.10060, 2022 - arxiv.org
This paper concerns the numerical solution of the two-dimensional time-dependent partial
integro-differential equation (PIDE) that holds for the values of European-style options under …
integro-differential equation (PIDE) that holds for the values of European-style options under …
Cost-effective massive computational speedups in simulations of high dimensional dynamical systems
D Biswas, S Gupta - 2023 - researchsquare.com
High dimensional dynamical systems involve a large number of coupled, generally
nonlinear, differential equations that are computationally intensive to simulate, thus requiring …
nonlinear, differential equations that are computationally intensive to simulate, thus requiring …