Standard
Porting the algorithm for calculating an asian option to a new processing architecture. / Stepanov, Eduard; Khmel, Dmitry; Mareev, Vladimir; Storublevtcev, Nikita; Bogdanov, Alexander.
Computational Science and Its Applications – ICCSA 2018 - 18th International Conference, 2018, Proceedings. ed. / Beniamino Murgante; Bernady O. Apduhan; Ana Maria Rocha; David Taniar; Eufemia Tarantino; Yeonseung Ryu; Osvaldo Gervasi; Sanjay Misra; Elena Stankova; Carmelo M. Torre. Springer Nature, 2018. p. 113-122 (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 10963 LNCS).
Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review
Harvard
Stepanov, E, Khmel, D
, Mareev, V, Storublevtcev, N & Bogdanov, A 2018,
Porting the algorithm for calculating an asian option to a new processing architecture. in B Murgante, BO Apduhan, AM Rocha, D Taniar, E Tarantino, Y Ryu, O Gervasi, S Misra, E Stankova & CM Torre (eds),
Computational Science and Its Applications – ICCSA 2018 - 18th International Conference, 2018, Proceedings. Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), vol. 10963 LNCS, Springer Nature, pp. 113-122, 18th International Conference on Computational Science and Its Applications, ICCSA 2018, Melbourne, Australia,
2/07/18.
https://doi.org/10.1007/978-3-319-95171-3_10APA
Stepanov, E., Khmel, D.
, Mareev, V., Storublevtcev, N., & Bogdanov, A. (2018).
Porting the algorithm for calculating an asian option to a new processing architecture. In B. Murgante, B. O. Apduhan, A. M. Rocha, D. Taniar, E. Tarantino, Y. Ryu, O. Gervasi, S. Misra, E. Stankova, & C. M. Torre (Eds.),
Computational Science and Its Applications – ICCSA 2018 - 18th International Conference, 2018, Proceedings (pp. 113-122). (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 10963 LNCS). Springer Nature.
https://doi.org/10.1007/978-3-319-95171-3_10Vancouver
Stepanov E, Khmel D
, Mareev V, Storublevtcev N, Bogdanov A.
Porting the algorithm for calculating an asian option to a new processing architecture. In Murgante B, Apduhan BO, Rocha AM, Taniar D, Tarantino E, Ryu Y, Gervasi O, Misra S, Stankova E, Torre CM, editors, Computational Science and Its Applications – ICCSA 2018 - 18th International Conference, 2018, Proceedings. Springer Nature. 2018. p. 113-122. (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)).
https://doi.org/10.1007/978-3-319-95171-3_10Author
BibTeX
@inproceedings{76551409600e4d7da0e5179898ece791,
title = "Porting the algorithm for calculating an asian option to a new processing architecture",
abstract = "This article describes some numerical approaches for solving the problem of pricing derivatives. These approaches are based on the Monte Carlo and finite difference methods. A number of techniques are given that provide a possibility to optimize the computational algorithms for their use on graphics processors. A software and hardware complex is also described that allows to increase the efficiency of calculations.",
keywords = "Finite difference methods, GPGPU, Monte Carlo method, Option pricing",
author = "Eduard Stepanov and Dmitry Khmel and Vladimir Mareev and Nikita Storublevtcev and Alexander Bogdanov",
year = "2018",
month = jan,
day = "1",
doi = "10.1007/978-3-319-95171-3_10",
language = "English",
isbn = "9783319951706",
series = "Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)",
publisher = "Springer Nature",
pages = "113--122",
editor = "Beniamino Murgante and Apduhan, {Bernady O.} and Rocha, {Ana Maria} and David Taniar and Eufemia Tarantino and Yeonseung Ryu and Osvaldo Gervasi and Sanjay Misra and Elena Stankova and Torre, {Carmelo M.}",
booktitle = "Computational Science and Its Applications – ICCSA 2018 - 18th International Conference, 2018, Proceedings",
address = "Germany",
note = "18th International Conference on Computational Science and Its Applications, ICCSA 2018 ; Conference date: 02-07-2018 Through 05-07-2018",
}
RIS
TY - GEN
T1 - Porting the algorithm for calculating an asian option to a new processing architecture
AU - Stepanov, Eduard
AU - Khmel, Dmitry
AU - Mareev, Vladimir
AU - Storublevtcev, Nikita
AU - Bogdanov, Alexander
PY - 2018/1/1
Y1 - 2018/1/1
N2 - This article describes some numerical approaches for solving the problem of pricing derivatives. These approaches are based on the Monte Carlo and finite difference methods. A number of techniques are given that provide a possibility to optimize the computational algorithms for their use on graphics processors. A software and hardware complex is also described that allows to increase the efficiency of calculations.
AB - This article describes some numerical approaches for solving the problem of pricing derivatives. These approaches are based on the Monte Carlo and finite difference methods. A number of techniques are given that provide a possibility to optimize the computational algorithms for their use on graphics processors. A software and hardware complex is also described that allows to increase the efficiency of calculations.
KW - Finite difference methods
KW - GPGPU
KW - Monte Carlo method
KW - Option pricing
UR - http://www.scopus.com/inward/record.url?scp=85049947042&partnerID=8YFLogxK
U2 - 10.1007/978-3-319-95171-3_10
DO - 10.1007/978-3-319-95171-3_10
M3 - Conference contribution
AN - SCOPUS:85049947042
SN - 9783319951706
T3 - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
SP - 113
EP - 122
BT - Computational Science and Its Applications – ICCSA 2018 - 18th International Conference, 2018, Proceedings
A2 - Murgante, Beniamino
A2 - Apduhan, Bernady O.
A2 - Rocha, Ana Maria
A2 - Taniar, David
A2 - Tarantino, Eufemia
A2 - Ryu, Yeonseung
A2 - Gervasi, Osvaldo
A2 - Misra, Sanjay
A2 - Stankova, Elena
A2 - Torre, Carmelo M.
PB - Springer Nature
T2 - 18th International Conference on Computational Science and Its Applications, ICCSA 2018
Y2 - 2 July 2018 through 5 July 2018
ER -
