Multistep schemes for solving backward stochastic differential equations on GPU
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DOI: 10.1186/s13362-021-00118-3
Abstract: The Backward Stochastic Differential Equation (BSDE) is an important tool for pricing and hedging. Highly accurate pricing for low computation time becomes interesting for minimizing monetary loss. Therefore, we explore the opportunity of parallelizing high-order… read more here.
Keywords: backward stochastic; multistep; solving backward; schemes solving ... See more keywords