GPU-Accelerated American Option Pricing: The Case of the Longstaff-Schwartz Monte Carlo Model
Authors:
- Leon Xing LiLLLeon Xing Li
- Ren-Raw ChenRCRen-Raw Chen
- Frank J. FabozziFFFrank J. Fabozzi
- 3 October 2024
- journal article
- Published by With Intelligence LLC in The Journal of Derivatives
- Vol. 32 (2) , 72-101