Special Issue Paper
Graphics processing unit pricing of exotic cross-currency interest rate derivatives with a foreign exchange volatility skew model
Version of Record online: 2 MAY 2012
Copyright © 2012 John Wiley & Sons, Ltd.
Concurrency and Computation: Practice and Experience
Special Issue: Special issue on computational finance (CoF09)
Volume 26, Issue 9, pages 1609–1625, 25 June 2014
How to Cite
Dang, D. M., Christara, C. C. and Jackson, K. R. (2014), Graphics processing unit pricing of exotic cross-currency interest rate derivatives with a foreign exchange volatility skew model. Concurrency Computat.: Pract. Exper., 26: 1609–1625. doi: 10.1002/cpe.2824
- Issue online: 24 APR 2014
- Version of Record online: 2 MAY 2012
- Manuscript Accepted: 19 JAN 2012
- Manuscript Revised: 15 FEB 2011
- Manuscript Received: 31 JAN 2010
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