{"id":"https://openalex.org/W1857288043","doi":"https://doi.org/10.1080/00207160.2015.1067689","title":"GPU acceleration of the stochastic grid bundling method for early-exercise options","display_name":"GPU acceleration of the stochastic grid bundling method for early-exercise options","publication_year":2015,"publication_date":"2015-06-29","ids":{"openalex":"https://openalex.org/W1857288043","doi":"https://doi.org/10.1080/00207160.2015.1067689","mag":"1857288043"},"language":"en","primary_location":{"id":"doi:10.1080/00207160.2015.1067689","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00207160.2015.1067689","pdf_url":null,"source":{"id":"https://openalex.org/S124867444","display_name":"International Journal of Computer Mathematics","issn_l":"0020-7160","issn":["0020-7160","1026-7425","1029-0265"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computer Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://ir.cwi.nl/pub/23949/23949D.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5047745167","display_name":"\u00c1lvaro Leitao","orcid":"https://orcid.org/0000-0002-3442-4587"},"institutions":[{"id":"https://openalex.org/I98358874","display_name":"Delft University of Technology","ror":"https://ror.org/02e2c7k09","country_code":"NL","type":"education","lineage":["https://openalex.org/I98358874"]},{"id":"https://openalex.org/I1341640284","display_name":"Centrum Wiskunde & Informatica","ror":"https://ror.org/00x7ekv49","country_code":"NL","type":"facility","lineage":["https://openalex.org/I1341640284","https://openalex.org/I2800991832"]}],"countries":["NL"],"is_corresponding":true,"raw_author_name":"\u00c1lvaro Leitao","raw_affiliation_strings":["Delft Institute of Applied Mathematics (DIAM), TU Delft, Delft, The Netherlands; Centrum Wiskunde & Informatica (CWI), Amsterdam, The Netherlands","Delft Institute of Applied Mathematics (DIAM), TU Delft, Delft, The Netherlands","Centrum Wiskunde & Informatica (CWI), Amsterdam, The Netherlands"],"affiliations":[{"raw_affiliation_string":"Delft Institute of Applied Mathematics (DIAM), TU Delft, Delft, The Netherlands; Centrum Wiskunde & Informatica (CWI), Amsterdam, The Netherlands","institution_ids":["https://openalex.org/I1341640284"]},{"raw_affiliation_string":"Delft Institute of Applied Mathematics (DIAM), TU Delft, Delft, The Netherlands","institution_ids":["https://openalex.org/I98358874"]},{"raw_affiliation_string":"Centrum Wiskunde & Informatica (CWI), Amsterdam, The Netherlands","institution_ids":["https://openalex.org/I1341640284"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5035408121","display_name":"Cornelis W. Oosterlee","orcid":"https://orcid.org/0000-0002-7322-4094"},"institutions":[{"id":"https://openalex.org/I1341640284","display_name":"Centrum Wiskunde & Informatica","ror":"https://ror.org/00x7ekv49","country_code":"NL","type":"facility","lineage":["https://openalex.org/I1341640284","https://openalex.org/I2800991832"]},{"id":"https://openalex.org/I98358874","display_name":"Delft University of Technology","ror":"https://ror.org/02e2c7k09","country_code":"NL","type":"education","lineage":["https://openalex.org/I98358874"]}],"countries":["NL"],"is_corresponding":false,"raw_author_name":"Cornelis W. Oosterlee","raw_affiliation_strings":["Delft Institute of Applied Mathematics (DIAM), TU Delft, Delft, The Netherlands; Centrum Wiskunde & Informatica (CWI), Amsterdam, The Netherlands","Delft Institute of Applied Mathematics (DIAM), TU Delft, Delft, The Netherlands","Centrum Wiskunde & Informatica (CWI), Amsterdam, The Netherlands"],"affiliations":[{"raw_affiliation_string":"Delft Institute of Applied Mathematics (DIAM), TU Delft, Delft, The Netherlands; Centrum Wiskunde & Informatica (CWI), Amsterdam, The Netherlands","institution_ids":["https://openalex.org/I1341640284"]},{"raw_affiliation_string":"Delft Institute of Applied Mathematics (DIAM), TU Delft, Delft, The Netherlands","institution_ids":["https://openalex.org/I98358874"]},{"raw_affiliation_string":"Centrum Wiskunde & Informatica (CWI), Amsterdam, The Netherlands","institution_ids":["https://openalex.org/I1341640284"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5047745167"],"corresponding_institution_ids":["https://openalex.org/I1341640284","https://openalex.org/I98358874"],"apc_list":null,"apc_paid":null,"fwci":2.453,"has_fulltext":true,"cited_by_count":14,"citation_normalized_percentile":{"value":0.89657157,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"92","issue":"12","first_page":"2433","last_page":"2454"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9865999817848206,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9865999817848206,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10698","display_name":"Transportation Planning and Optimization","score":0.982699990272522,"subfield":{"id":"https://openalex.org/subfields/3313","display_name":"Transportation"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9818000197410583,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.8118311166763306},{"id":"https://openalex.org/keywords/graphics","display_name":"Graphics","score":0.7444833517074585},{"id":"https://openalex.org/keywords/grid","display_name":"Grid","score":0.6324582099914551},{"id":"https://openalex.org/keywords/parallel-computing","display_name":"Parallel computing","score":0.5508747100830078},{"id":"https://openalex.org/keywords/acceleration","display_name":"Acceleration","score":0.5427532196044922},{"id":"https://openalex.org/keywords/general-purpose-computing-on-graphics-processing-units","display_name":"General-purpose computing on graphics processing units","score":0.5250396728515625},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.509888768196106},{"id":"https://openalex.org/keywords/computational-science","display_name":"Computational science","score":0.4468482732772827},{"id":"https://openalex.org/keywords/parallel-processing","display_name":"Parallel processing","score":0.4257679581642151},{"id":"https://openalex.org/keywords/computer-graphics","display_name":"Computer graphics (images)","score":0.18783479928970337},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.09129089117050171}],"concepts":[{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.8118311166763306},{"id":"https://openalex.org/C21442007","wikidata":"https://www.wikidata.org/wiki/Q1027879","display_name":"Graphics","level":2,"score":0.7444833517074585},{"id":"https://openalex.org/C187691185","wikidata":"https://www.wikidata.org/wiki/Q2020720","display_name":"Grid","level":2,"score":0.6324582099914551},{"id":"https://openalex.org/C173608175","wikidata":"https://www.wikidata.org/wiki/Q232661","display_name":"Parallel computing","level":1,"score":0.5508747100830078},{"id":"https://openalex.org/C117896860","wikidata":"https://www.wikidata.org/wiki/Q11376","display_name":"Acceleration","level":2,"score":0.5427532196044922},{"id":"https://openalex.org/C50630238","wikidata":"https://www.wikidata.org/wiki/Q971505","display_name":"General-purpose computing on graphics processing units","level":3,"score":0.5250396728515625},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.509888768196106},{"id":"https://openalex.org/C459310","wikidata":"https://www.wikidata.org/wiki/Q117801","display_name":"Computational science","level":1,"score":0.4468482732772827},{"id":"https://openalex.org/C106515295","wikidata":"https://www.wikidata.org/wiki/Q26806595","display_name":"Parallel processing","level":2,"score":0.4257679581642151},{"id":"https://openalex.org/C121684516","wikidata":"https://www.wikidata.org/wiki/Q7600677","display_name":"Computer graphics (images)","level":1,"score":0.18783479928970337},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.09129089117050171},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C74650414","wikidata":"https://www.wikidata.org/wiki/Q11397","display_name":"Classical mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1080/00207160.2015.1067689","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00207160.2015.1067689","pdf_url":null,"source":{"id":"https://openalex.org/S124867444","display_name":"International Journal of Computer Mathematics","issn_l":"0020-7160","issn":["0020-7160","1026-7425","1029-0265"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computer Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:cwi.nl:23949","is_oa":true,"landing_page_url":"https://ir.cwi.nl/pub/23949","pdf_url":"https://ir.cwi.nl/pub/23949/23949D.pdf","source":{"id":"https://openalex.org/S7407055335","display_name":"Centrum Wiskunde & Informatica (CWI), the national research institute for mathematics and computer science in the Netherlands","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Journal of Computational Mathematics vol. 92 no. 12, pp. 2433-2454","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"pmh:oai:cwi.nl:23949","is_oa":true,"landing_page_url":"https://ir.cwi.nl/pub/23949","pdf_url":"https://ir.cwi.nl/pub/23949/23949D.pdf","source":{"id":"https://openalex.org/S7407055335","display_name":"Centrum Wiskunde & Informatica (CWI), the national research institute for mathematics and computer science in the Netherlands","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Journal of Computational Mathematics vol. 92 no. 12, pp. 2433-2454","raw_type":"info:eu-repo/semantics/article"},"sustainable_development_goals":[{"score":0.4300000071525574,"id":"https://metadata.un.org/sdg/9","display_name":"Industry, innovation and infrastructure"}],"awards":[],"funders":[{"id":"https://openalex.org/F4320320300","display_name":"European Commission","ror":"https://ror.org/00k4n6c32"},{"id":"https://openalex.org/F4320338368","display_name":"FP7 People: Marie-Curie Actions","ror":"https://ror.org/00k4n6c32"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W1857288043.pdf","grobid_xml":"https://content.openalex.org/works/W1857288043.grobid-xml"},"referenced_works_count":30,"referenced_works":["https://openalex.org/W164384110","https://openalex.org/W579519726","https://openalex.org/W599934088","https://openalex.org/W1481030134","https://openalex.org/W1747777385","https://openalex.org/W1762731526","https://openalex.org/W1944708231","https://openalex.org/W1986816028","https://openalex.org/W1988893020","https://openalex.org/W2065178221","https://openalex.org/W2082155365","https://openalex.org/W2105672886","https://openalex.org/W2112548389","https://openalex.org/W2118558147","https://openalex.org/W2124062778","https://openalex.org/W2126311658","https://openalex.org/W2152565894","https://openalex.org/W2189448101","https://openalex.org/W2251263226","https://openalex.org/W2253627208","https://openalex.org/W2256916148","https://openalex.org/W2398736067","https://openalex.org/W2752853835","https://openalex.org/W3003239501","https://openalex.org/W3122065874","https://openalex.org/W3122113998","https://openalex.org/W3124696154","https://openalex.org/W3158780744","https://openalex.org/W3198160809","https://openalex.org/W4256330275"],"related_works":["https://openalex.org/W2505380084","https://openalex.org/W2086739451","https://openalex.org/W1656096860","https://openalex.org/W641925902","https://openalex.org/W2149904643","https://openalex.org/W2095928260","https://openalex.org/W2268149564","https://openalex.org/W1984739956","https://openalex.org/W2763312740","https://openalex.org/W2043140447"],"abstract_inverted_index":{"In":[0],"this":[1],"work,":[2],"a":[3,113],"parallel":[4,99,128],"graphics":[5,76],"processing":[6,60,77],"units":[7,78],"(GPU)":[8],"version":[9,110],"of":[10,37,50,65,107,111],"the":[11,28,31,35,66,71,84,105,108,118],"Monte":[12],"Carlo":[13],"stochastic":[14],"grid":[15],"bundling":[16,91],"method":[17,67],"(SGBM)":[18],"for":[19,90,116],"pricing":[20],"multi-dimensional":[21],"early-exercise":[22,119],"options":[23],"is":[24,68,80,95,101,121],"presented.":[25,131],"To":[26],"extend":[27],"method's":[29],"applicability,":[30],"problem":[32],"dimensions":[33],"and":[34,70,126],"number":[36],"bundles":[38],"will":[39],"be":[40],"increased":[41],"drastically.":[42],"This":[43],"makes":[44],"SGBM":[45],"very":[46],"expensive":[47],"in":[48],"terms":[49],"computational":[51],"costs":[52],"on":[53,58,75,98],"conventional":[54],"hardware":[55,100],"systems":[56],"based":[57],"central":[59],"units.":[61],"A":[62],"parallelization":[63],"strategy":[64],"developed":[69],"general":[72,114],"purpose":[73],"computing":[74,117],"paradigm":[79],"used":[81],"to":[82,104],"reduce":[83],"execution":[85],"time.":[86],"An":[87],"improved":[88],"technique":[89],"asset":[92],"paths,":[93],"which":[94],"more":[96],"efficient":[97],"introduced.":[102],"Thanks":[103],"performance":[106],"GPU":[109,127],"SGBM,":[112],"approach":[115],"policy":[120],"proposed.":[122],"Comparisons":[123],"between":[124],"sequential":[125],"versions":[129],"are":[130]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2023,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":1},{"year":2014,"cited_by_count":1}],"updated_date":"2026-03-10T16:38:18.471706","created_date":"2016-06-24T00:00:00"}
