Multistep schemes for solving backward stochastic differential equations on GPU

Multistep schemes for solving backward stochastic differential equations on GPU

Abstract The Backward Stochastic Differential Equation (BSDE) is an important tool for pricing and hedging. Highly accurate pricing for low computation time becomes interesting for minimizing monetary loss. Therefore, we explore the opportunity of parallelizing high-order multistep schemes in option...

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Bibliographic Details
Main Authors: Lorenc Kapllani, Long Teng
Format: Article
Language:English
Published: SpringerOpen 2022-01-01
Series:Journal of Mathematics in Industry
Subjects:
Backward stochastic differential equations
Multistep scheme
GPU computing
CUDA
Option pricing
Online Access:https://doi.org/10.1186/s13362-021-00118-3

Internet

https://doi.org/10.1186/s13362-021-00118-3

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