Parallelization of pricing path-dependent financial instruments on bounded trinomial lattices

Hannes Schabauer; Ronald Hochreiter; Georg Ch Pflug

doi:10.1007/978-3-540-69387-1_46

Parallelization of pricing path-dependent financial instruments on bounded trinomial lattices

Hannes Schabauer
, Ronald Hochreiter
, Georg Ch Pflug

University of Vienna

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Original language	English
Title of host publication	Computational Science - ICCS 2008 - 8th International Conference, Proceedings
Pages	408-415
Number of pages	8
Edition	PART 2
DOIs	https://doi.org/10.1007/978-3-540-69387-1_46
Publication status	Published - 2008
Externally published	Yes
Event	8th International Conference on Computational Science, ICCS 2008 - Krakow, Poland Duration: 23 Jun 2008 → 25 Jun 2008

Publication series

Name	Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Number	PART 2
Volume	5102 LNCS
ISSN (Print)	0302-9743
ISSN (Electronic)	1611-3349

Conference

Conference	8th International Conference on Computational Science, ICCS 2008
Country/Territory	Poland
City	Krakow
Period	23/06/08 → 25/06/08

Keywords

Bounded lattice
Cluster computing
Computational finance
Parallelization
Pricing

Access to Document

10.1007/978-3-540-69387-1_46

Cite this

Schabauer, H., Hochreiter, R., & Pflug, G. C. (2008). Parallelization of pricing path-dependent financial instruments on bounded trinomial lattices. In Computational Science - ICCS 2008 - 8th International Conference, Proceedings (PART 2 ed., pp. 408-415). (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 5102 LNCS, No. PART 2). https://doi.org/10.1007/978-3-540-69387-1_46

Schabauer, Hannes ; Hochreiter, Ronald ; Pflug, Georg Ch. / Parallelization of pricing path-dependent financial instruments on bounded trinomial lattices. Computational Science - ICCS 2008 - 8th International Conference, Proceedings. PART 2. ed. 2008. pp. 408-415 (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); PART 2).

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title = "Parallelization of pricing path-dependent financial instruments on bounded trinomial lattices",

keywords = "Bounded lattice, Cluster computing, Computational finance, Parallelization, Pricing",

author = "Hannes Schabauer and Ronald Hochreiter and Pflug, \{Georg Ch\}",

year = "2008",

doi = "10.1007/978-3-540-69387-1\_46",

language = "English",

isbn = "3540693866",

series = "Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)",

number = "PART 2",

pages = "408--415",

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edition = "PART 2",

note = "8th International Conference on Computational Science, ICCS 2008 ; Conference date: 23-06-2008 Through 25-06-2008",

}

Schabauer, H, Hochreiter, R & Pflug, GC 2008, Parallelization of pricing path-dependent financial instruments on bounded trinomial lattices. in Computational Science - ICCS 2008 - 8th International Conference, Proceedings. PART 2 edn, Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), no. PART 2, vol. 5102 LNCS, pp. 408-415, 8th International Conference on Computational Science, ICCS 2008, Krakow, Poland, 23/06/08. https://doi.org/10.1007/978-3-540-69387-1_46

Parallelization of pricing path-dependent financial instruments on bounded trinomial lattices. / Schabauer, Hannes; Hochreiter, Ronald; Pflug, Georg Ch.
Computational Science - ICCS 2008 - 8th International Conference, Proceedings. PART 2. ed. 2008. p. 408-415 (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 5102 LNCS, No. PART 2).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

TY - GEN

T1 - Parallelization of pricing path-dependent financial instruments on bounded trinomial lattices

AU - Schabauer, Hannes

AU - Hochreiter, Ronald

AU - Pflug, Georg Ch

PY - 2008

Y1 - 2008

KW - Bounded lattice

KW - Cluster computing

KW - Computational finance

KW - Parallelization

KW - Pricing

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U2 - 10.1007/978-3-540-69387-1_46

DO - 10.1007/978-3-540-69387-1_46

M3 - Conference contribution

AN - SCOPUS:47749111025

SN - 3540693866

SN - 9783540693864

T3 - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

SP - 408

EP - 415

BT - Computational Science - ICCS 2008 - 8th International Conference, Proceedings

T2 - 8th International Conference on Computational Science, ICCS 2008

Y2 - 23 June 2008 through 25 June 2008

ER -

Schabauer H, Hochreiter R, Pflug GC. Parallelization of pricing path-dependent financial instruments on bounded trinomial lattices. In Computational Science - ICCS 2008 - 8th International Conference, Proceedings. PART 2 ed. 2008. p. 408-415. (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); PART 2). doi: 10.1007/978-3-540-69387-1_46

Parallelization of pricing path-dependent financial instruments on bounded trinomial lattices

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Keywords

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