Contains implementation of the finite-difference pricer for American options on CPU and GPU.
More details on TastyHedge blog:
- CMake
- C++ compiler
- MSVC on Windows
- GCC / Clang on Linux
gituliar/kwinto-cuda
Folders and files
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Contains implementation of the finite-difference pricer for American options on CPU and GPU.
More details on TastyHedge blog: