Kooderive: Multi-core Graphics Cards, the Libor Market Model, Least-squares Monte Carlo and the Pricing of Cancellable Swaps
نویسنده
چکیده
We discuss the pricing of cancellable swaps using the displaced diffusion LIBOR market model using a multi-core graphics card. We demonstrate that over one hundred times speed up can be achieved in a realistic case.
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تاریخ انتشار 2014