Pricing Multiple Option Contracts with Monte-Carlo Methods GPU

Guoqing Zhang; Juho Kanniainen; Tapani Ahonen

Pricing Multiple Option Contracts with Monte-Carlo Methods GPU

Guoqing Zhang, Juho Kanniainen, Tapani Ahonen

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Scientific › peer-review

Translated title of the contribution	Pricing Multiple Option Contracts with Monte-Carlo Methods GPU
Original language	English
Title of host publication	Proceedings of the High-level programming for heterogeneous and hierarchical parallel systems workshop, in conjunction with the 9th International conference on high-performance and embedded architectures and compilers, HiPEAC Conference, 20-22 January, 2014, Vienna, Austria
Place of Publication	Ghent, Belgium
Publisher	HiPEAC
Pages	1-9
Number of pages	9
Publication status	Published - 2014
Publication type	A4 Article in conference proceedings
Event	International conference on high-performance and embedded architectures and compilers - Duration: 1 Jan 2014 → …

Publication series

Name	International conference on high-performance and embedded architectures and compilers

Conference

Conference	International conference on high-performance and embedded architectures and compilers
Period	1/01/14 → …

Publication forum classification

Publication forum level 1

Access to Document

http://chrisb.host.cs.st-andrews.ac.uk/hlpgpu.pdf

Cite this

Zhang, G., Kanniainen, J., & Ahonen, T. (2014). Pricing Multiple Option Contracts with Monte-Carlo Methods GPU. In Proceedings of the High-level programming for heterogeneous and hierarchical parallel systems workshop, in conjunction with the 9th International conference on high-performance and embedded architectures and compilers, HiPEAC Conference, 20-22 January, 2014, Vienna, Austria (pp. 1-9). (International conference on high-performance and embedded architectures and compilers). HiPEAC. http://chrisb.host.cs.st-andrews.ac.uk/hlpgpu.pdf

Zhang, Guoqing ; Kanniainen, Juho ; Ahonen, Tapani. / Pricing Multiple Option Contracts with Monte-Carlo Methods GPU. Proceedings of the High-level programming for heterogeneous and hierarchical parallel systems workshop, in conjunction with the 9th International conference on high-performance and embedded architectures and compilers, HiPEAC Conference, 20-22 January, 2014, Vienna, Austria. Ghent, Belgium : HiPEAC, 2014. pp. 1-9 (International conference on high-performance and embedded architectures and compilers).

@inproceedings{8541f9fedba947e393fab58747bd330e,

title = "Pricing Multiple Option Contracts with Monte-Carlo Methods GPU",

author = "Guoqing Zhang and Juho Kanniainen and Tapani Ahonen",

note = "Contribution: organisation=elt,FACT1=0.7 Contribution: organisation=tta,FACT2=0.3 Portfolio EDEND: 2014-12-31 Publisher name: HiPEAC; International conference on high-performance and embedded architectures and compilers ; Conference date: 01-01-2014",

year = "2014",

language = "English",

series = "International conference on high-performance and embedded architectures and compilers",

publisher = "HiPEAC",

pages = "1--9",

booktitle = "Proceedings of the High-level programming for heterogeneous and hierarchical parallel systems workshop, in conjunction with the 9th International conference on high-performance and embedded architectures and compilers, HiPEAC Conference, 20-22 January, 2014, Vienna, Austria",

}

Zhang, G, Kanniainen, J & Ahonen, T 2014, Pricing Multiple Option Contracts with Monte-Carlo Methods GPU. in Proceedings of the High-level programming for heterogeneous and hierarchical parallel systems workshop, in conjunction with the 9th International conference on high-performance and embedded architectures and compilers, HiPEAC Conference, 20-22 January, 2014, Vienna, Austria. International conference on high-performance and embedded architectures and compilers, HiPEAC, Ghent, Belgium, pp. 1-9, International conference on high-performance and embedded architectures and compilers, 1/01/14. <http://chrisb.host.cs.st-andrews.ac.uk/hlpgpu.pdf>

Pricing Multiple Option Contracts with Monte-Carlo Methods GPU. / Zhang, Guoqing; Kanniainen, Juho; Ahonen, Tapani.
Proceedings of the High-level programming for heterogeneous and hierarchical parallel systems workshop, in conjunction with the 9th International conference on high-performance and embedded architectures and compilers, HiPEAC Conference, 20-22 January, 2014, Vienna, Austria. Ghent, Belgium: HiPEAC, 2014. p. 1-9 (International conference on high-performance and embedded architectures and compilers).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Scientific › peer-review

TY - GEN

T1 - Pricing Multiple Option Contracts with Monte-Carlo Methods GPU

AU - Zhang, Guoqing

AU - Kanniainen, Juho

AU - Ahonen, Tapani

N1 - Contribution: organisation=elt,FACT1=0.7 Contribution: organisation=tta,FACT2=0.3 Portfolio EDEND: 2014-12-31 Publisher name: HiPEAC

PY - 2014

Y1 - 2014

M3 - Conference contribution

T3 - International conference on high-performance and embedded architectures and compilers

SP - 1

EP - 9

BT - Proceedings of the High-level programming for heterogeneous and hierarchical parallel systems workshop, in conjunction with the 9th International conference on high-performance and embedded architectures and compilers, HiPEAC Conference, 20-22 January, 2014, Vienna, Austria

PB - HiPEAC

CY - Ghent, Belgium

T2 - International conference on high-performance and embedded architectures and compilers

Y2 - 1 January 2014

ER -

Zhang G, Kanniainen J, Ahonen T. Pricing Multiple Option Contracts with Monte-Carlo Methods GPU. In Proceedings of the High-level programming for heterogeneous and hierarchical parallel systems workshop, in conjunction with the 9th International conference on high-performance and embedded architectures and compilers, HiPEAC Conference, 20-22 January, 2014, Vienna, Austria. Ghent, Belgium: HiPEAC. 2014. p. 1-9. (International conference on high-performance and embedded architectures and compilers).