Please use this identifier to cite or link to this item: http://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
Source: 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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