Journal
Scientific and technical journal of information technologies, mechanics and optics
UDK519.245
Issue:9 (54)
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EFFECTIVE UTILIZATION OF COMPUTATIONAL RESOURCES FOR BERMUDA OPTIONS RATIONAL PRICES ESTIMATION
Annotation
Our results in effective implementation of one algorithm of rational price determination for Bermuda options are reported in the paper. The approaches for optimization of calculations both in serial and parallel versions based on MPI and OpenMP are described. Computational results show linear speedup at clusters/SMP systems.
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