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In this paper, we develop acceleration strategies for option pricing with non-linear Backward Stochastic Differential Equation (BSDE), which appears as a robust and valuable tool in financial markets. An efficient binomial lattice based method is adopted to solve the BSDE numerically. In order to reduce the global memory access frequency, the kernel invocation is avoided to be performed on each time...
MapReduce is popular in cloud computing area. It's mainly used in Information Retrieval, Distributed Storage, DM, Machine Learning and so on. It's fit to parallel computing of great capacity for liquor data. Based on MapReduce's property, we designed a computing model for option pricing with BSDEs on it. Option pricing is one of the most important parts in financial area. To promote precision of pricing,...
The development of the hardware changes program structure. Now the Graphic Processing Unit (GPU) has evolved into an extremely flexible, powerful and cost-efficient processor, which is specialized for compute intensive, massively data parallel computation. In the field of financial derivatives pricing and risk management, the Backward Stochastic Differential Equation (BSDE) is a robust tool. The aim...
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