SIMD公司
平行性(语法)
地点
计算机科学
数值分析
偏微分方程
并行计算
布莱克-斯科尔斯模型
应用数学
计算金融学
数学优化
财务
数理经济学
数学
经济
数学分析
哲学
波动性(金融)
语言学
出处
期刊:Elsevier eBooks
[Elsevier]
日期:2015-01-01
卷期号:: 113-137
标识
DOI:10.1016/b978-0-12-803819-2.00013-6
摘要
This chapter covers the high-performance parallel numerical methods most frequently used by C/C++ application developers in quantitative finance in the course of implementing a high-performance program that use Newton-Raphson method to find solutions to partial differential equation based on Black-Scholes model for American option pricing. Particular attention is paid to taking advantage of data locality and how to express the numerical algorithm to achieve both vector (SIMD) and core parallelism
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