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High Dimensional Pricing of Exotic European Contracts on a GPU Cluster, and Comparison to a CPU Cluster

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by Lokman A. Abbas-turki , Stephane Vialle , Bernard Lapeyre , Patrick Mercier
Venue:in "Second International Workshop on Parallel and Distributed Computing in Finance - PDCoF 2009, Italie Rome", 2009, p. Proceedings on CDROM (8
Citations:7 - 3 self