By Shuo Li for Intel Software Network
Derivative pricing lies at the center of modern quantitative finance, and stock-option pricing is its most fundamental form. The binomial option pricing model has found wide applications in both in equity and in fixed income derivatives pricing. This paper present a software optimization methodology that accelerates any derivative pricing application based on the binomial tree option pricing model.
High Performance Computing with Binomial Option Pricing, Part I
December 6th, 2008 · No Comments
Tags: Applications · HPC · MulticoreInfo · Performance · Research
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