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Today, pricing of derivates (particularly options) in financial institutions is a challenge. Besides the increasing complexity of the products, obtaining fair prices requires more realistic (and therefore complex) models of the underlying asset behavior. Not only due to the increasing costs, energy efficient and accurate pricing of these models becomes more and more important. In this paper we present...
Monte-Carlo (MC) simulation is an effective tool for solving complex problems such as many-body simulation, exotic option pricing and partial differential equation solving. The huge amount of computation in MC makes it a good candidate for acceleration using hardware and distributed computing platforms. We propose a novel MC simulation framework suitable for a wide range of problems. This framework...
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