André Bernemann

WestLB

Financial Engineer

Herzogstrasse 17

Düsseldorf, 40217

Germany

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Scholarly Papers (1)

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Accelerating Exotic Option Pricing and Model Calibration Using GPUs

Number of pages: 19 Posted: 03 Feb 2011
André Bernemann, Ralph Schreyer and Klaus Spanderen
WestLB, WestLB and affiliation not provided to SSRN
Downloads 642 (26,415)
Citation 1

Abstract:

Finance, Exotic Options, Pricing, Local Volatility, Heston, Heston Hull-White, Calibration, GPU