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"High-performance computation of pricing two-asset American options under ..."

Abhijit Ghosh, Chittaranjan Mishra (2022)

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DOI: 10.1016/J.CAMWA.2021.11.012

access: closed

type: Journal Article

metadata version: 2022-01-21

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Abhijit Ghosh, Chittaranjan Mishra:
High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU. Comput. Math. Appl. 105: 29-40 (2022)

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