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https://scholarbank.nus.edu.sg/handle/10635/36166
| Title: | OPTION PRICING, HEDGING AND SIMULATION WITH GPU UNDER MULTIDIMENSIONAL LÉVY PROCESSES | Authors: | CHEN DACHENG | Keywords: | Option Pricing, Lévy Processes, GPU Simulation | Issue Date: | 16-Aug-2012 | Citation: | CHEN DACHENG (2012-08-16). OPTION PRICING, HEDGING AND SIMULATION WITH GPU UNDER MULTIDIMENSIONAL LÉVY PROCESSES. ScholarBank@NUS Repository. | Abstract: | Transformation method for derivative price calculation is reviewed. The original method is then modified to calculate some exotics' prices. Then result is verified by Monte Carlo simulation with performance comparison between GPU C++ and Matlab. | URI: | http://scholarbank.nus.edu.sg/handle/10635/36166 |
| Appears in Collections: | Master's Theses (Open) |
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| thesisnew.pdf | 950.55 kB | Adobe PDF | OPEN | None | View/Download |
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