Our news journalists obtained a quote from the research, "The influence of the number of terms in the Fourier cosine series expansion, the number of strikes, as well as the number of exercise dates for Bermudan options is explored. We also give details about the different ways of implementing on a GPU. Numerical examples include asset price processes on the basis of a Levy process of infinite activity and the stochastic volatility Heston model."
According to the news editors, the research concluded: "Furthermore, we discuss the issue of precision on the present GPU systems."
For more information on this research see: Acceleration of option pricing technique on graphics processing units. Concurrency and Computation-Practice & Experience, 2014;26(9):1626-1639. Concurrency and Computation-Practice & Experience can be contacted at: Wiley-Blackwell,
Our news journalists report that additional information may be obtained by contacting
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