BZ

B. Zhang

12 records found

Acceleration of option pricing technique on graphics processing units

Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions

An efficient pricing algorithm for swing options based on Fourier cosine expansions

`Efficient pricing of European-style Asian options under exponential Levy processes based on Fourier cosine expansions.'

Efficient pricing of early-exercise and exotic options based on fourier cosine expansions
Doctoral thesis (2012) - B. Zhang (author)

Efficient Pricing of Asian Options under L´evy Processes based on Fourier Cosine Expansions Part II Early¿Exercise Features and GPU Implementation

Efficient pricing of commodity options with early-exercise under the Ornstein¿Uhlenbeck process

Efficient pricing of asian options under L´evy processes

Efficient pricing of commodity options with early-exercise under the ornstein¿uhlenbeck process

An efficient pricing algorithm for swing options based on Fourier cosine expansions

Acceleration of option pricing technique on graphics processing units

Option pricing with COS method on graphics processing unit
Conference paper (2009) - B. Zhang (author), C.W. Oosterlee (author)