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"A Multistep Scheme to Solve Backward Stochastic Differential Equations for ..."

Lorenc Kapllani, Long Teng, Matthias Ehrhardt (2019)

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DOI: 10.1007/978-3-030-55347-0_17

access: closed

type: Conference or Workshop Paper

metadata version: 2024-05-07

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  dblp key:
  - conf/hpc2/KapllaniTE19
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Lorenc Kapllani, Long Teng, Matthias Ehrhardt:
A Multistep Scheme to Solve Backward Stochastic Differential Equations for Option Pricing on GPUs. HPC 2019: 196-208

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