Option pricing with COS method on graphics processing unit

Conference Paper (2009)

Author(s)

B Zhang (TU Delft - Numerical Analysis)

C.W. Oosterlee (TU Delft - Numerical Analysis)

Research Group

Numerical Analysis

Conf.proc. > 3 pag Conference contrib. refereed

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Publication Year

2009

Research Group

Numerical Analysis

Pages (from-to)

1-8

ISBN (print)

978-1-4244-3751-1

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