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International Journal of Computer Mathematics Volume 92, 2015 - Issue 12: Computational Methods in Finance
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SECTION B

GPU acceleration of the stochastic grid bundling method for early-exercise options

Álvaro LeitaoDelft Institute of Applied Mathematics (DIAM), TU Delft, Delft, The Netherlands;Centrum Wiskunde & Informatica (CWI), Amsterdam, The NetherlandsCorrespondence[email protected]
&
Cornelis W. OosterleeDelft Institute of Applied Mathematics (DIAM), TU Delft, Delft, The Netherlands;Centrum Wiskunde & Informatica (CWI), Amsterdam, The Netherlands
Pages 2433-2454 | Received 30 Oct 2014, Accepted 04 Jun 2015, Published online: 02 Sep 2015

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Íñigo Arregui, Álvaro Leitao, Beatriz Salvador & Carlos Vázquez. (2023) Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk. International Journal of Computer Mathematics 0:0, pages 1-21.
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Ki Wai Chau & Cornelis W. Oosterlee. (2019) Stochastic grid bundling method for backward stochastic differential equations. International Journal of Computer Mathematics 96:11, pages 2272-2301.
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Articles from other publishers (9)

Vikranth Lokeshwar, Vikram Bharadwaj & Shashi Jain. (2022) Explainable neural network for pricing and universal static hedging of contingent claims. Applied Mathematics and Computation 417, pages 126775.
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Ki Wai Chau, Jok Tang & Cornelis W. Oosterlee. (2020) An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA. Journal of Mathematics in Industry 10:1.
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J. Lars Kirkby, Dang H. Nguyen & Duy Nguyen. (2020) A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions. Applied Mathematics and Computation 386, pages 125472.
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Shashi Jain, Álvaro Leitao & Cornelis W. Oosterlee. (2019) Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options. Journal of Computational Science 33, pages 95-112.
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Álvaro Leitao & Cornelis W. Oosterlee. 2017. Novel Methods in Computational Finance. Novel Methods in Computational Finance 465 476 .
Q. Feng & C. W. Oosterlee. 2017. Recent Progress and Modern Challenges in Applied Mathematics, Modeling and Computational Science. Recent Progress and Modern Challenges in Applied Mathematics, Modeling and Computational Science 265 301 .
Shashi Jain, Alvaro Leitao Rodriguez & Cornelis W. Oosterlee. (2017) Rolling Adjoints : Fast Greeks Along Monte Carlo Scenarios for Early-Exercise Options. SSRN Electronic Journal.
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Qian Feng, Shashi Jain, Patrik Karlsson & Cornelis W. Oosterlee. (2016) Efficient Computation of Exposure Profiles on Real-World and Risk-Neutral Scenarios for Bermudan Swaptions. SSRN Electronic Journal.
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Qian Feng & Cornelis W. Oosterlee. (2014) Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model. SSRN Electronic Journal.
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