Spread Option Pricing on Single-Core and Parallel Computing Architectures

This paper introduces parallel computation for spread options using two-dimensional Fourier transform. Spread options are multi-asset options whose payoffs depend on the difference of two underlying financial securities. Pricing these securities, however, cannot be done using closed-form methods; as...

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Detalles Bibliográficos

Autores principales:	Kannan, Shiam, Alfeus, Mesias
Formato:	Capítulo de libro
Lenguaje:	inglés
Publicado:	IntechOpen 2021
Materias:	Physical Sciences, Engineering and Technology
Acceso en línea:	https://www.intechopen.com/chapters/72962
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