Open AccessPricing the Financial Heston Model Using Parallel Finite Difference Method on GPU CUDA
Author(s) -
Pranowo Pranowo
Publication year - 2020
Publication title -
international journal of applied sciences and smart technologies
Language(s) - English
Resource type - Journals
eISSN - 2685-9432
pISSN - 2655-8564
DOI - 10.24071/ijasst.v2i1.1855
Subject(s) - heston model , stochastic volatility , finite difference method , finite difference , cuda , computer science , valuation of options , volatility (finance) , mathematical optimization , mathematics , econometrics , sabr volatility model , parallel computing , mathematical analysis