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Parallel Valuation of the Lower and Upper Bound Prices for ...
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由 N Zhang 著作2012被引用 2 次 — We present a parallel algorithm and its multi-threaded implementation for computing lower and upper bound prices of multi-asset Bermudan options.
Parallel Valuation of the Lower and Upper Bound Prices for ...
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由 Z Nan 著作2012被引用 2 次 — We have presented a parallel algorithm and its implementation that computes the lower and upper bound prices of multi-asset Bermudan options.
Parallel Valuation of the Lower and Upper Bound Prices for ...
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2024年11月21日 — We present a parallel algorithm and its multi-threaded implementation for computing lower and upper bound prices of multi-asset Bermudan ...
Parallel valuation of the lower and upper bound prices for ...
西交利物浦大学
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西交利物浦大学
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由 N Zhang 著作2012被引用 2 次 — We present a parallel algorithm and its multi-threaded implementation for computing lower and upper bound prices of multi-asset Bermudan options.
Parallel Valuation of the Lower and Upper Bound Prices for Multi ...
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We present a parallel algorithm and its multi-threaded implementation for computing lower and upper bound prices of multi-asset Bermudan options.
Parallel Valuation of the Lower and Upper Bound Prices for Multi ...
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Bibliographic details on Parallel Valuation of the Lower and Upper Bound Prices for Multi-asset Bermudan Options.
Parallel Valuation of the Lower and Upper Bound Prices for Multi ...
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We present a parallel algorithm and its multi-threaded implementation for computing lower and upper bound prices of multi-asset Bermudan options.
Parallel Valuation of the Lower and Upper Bound Prices for Multi ...
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A parallel algorithm and its multi-threaded implementation for computing lower and upper bound prices of multi-asset Bermudan options and its baseline ...
Parallel valuation of the lower and upper bound prices for multi- ...
西交利物浦大学
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西交利物浦大学
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Dive into the research topics of 'Parallel valuation of the lower and upper bound prices for multi-asset Bermudan options'. Together they form a unique ...
Computing the Lower and Upper Bound Prices for Multi ...
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For case studies we computed the prices of Bermudan max-call options and Bermudan interest rate swaptions. The pricing procedures are parallelized through POSIX ...