{"id":"https://openalex.org/W2076396689","doi":"https://doi.org/10.1109/hpcs.2010.5547113","title":"Parallel implementation of a Quantization algorithm for pricing American style options on GPGPU","display_name":"Parallel implementation of a Quantization algorithm for pricing American style options on GPGPU","publication_year":2010,"publication_date":"2010-06-01","ids":{"openalex":"https://openalex.org/W2076396689","doi":"https://doi.org/10.1109/hpcs.2010.5547113","mag":"2076396689"},"language":"en","primary_location":{"id":"doi:10.1109/hpcs.2010.5547113","is_oa":false,"landing_page_url":"https://doi.org/10.1109/hpcs.2010.5547113","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2010 International Conference on High Performance Computing & Simulation","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5090083053","display_name":"Gilles Pag\u00e8s","orcid":"https://orcid.org/0000-0001-6487-3079"},"institutions":[{"id":"https://openalex.org/I4210147464","display_name":"Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires","ror":"https://ror.org/04hjc7403","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I204730241","https://openalex.org/I39804081","https://openalex.org/I4210141950","https://openalex.org/I4210147464"]},{"id":"https://openalex.org/I50863359","display_name":"Marie Curie","ror":"https://ror.org/02aqv1x10","country_code":"GB","type":"nonprofit","lineage":["https://openalex.org/I50863359"]}],"countries":["FR","GB"],"is_corresponding":true,"raw_author_name":"Gilles Page\u0300s","raw_affiliation_strings":["Labo. de Probabilit\u00e9s & Mod\u00e8les Al\u00e8atoires, University Pierre and Marie Curie, France","Labo. de Probabilit\u00e9s & Mod\u00e8les Al\u00e9atoires, Univ. Pierre & Marie Curie (P6)"],"affiliations":[{"raw_affiliation_string":"Labo. de Probabilit\u00e9s & Mod\u00e8les Al\u00e8atoires, University Pierre and Marie Curie, France","institution_ids":["https://openalex.org/I4210147464"]},{"raw_affiliation_string":"Labo. de Probabilit\u00e9s & Mod\u00e8les Al\u00e9atoires, Univ. Pierre & Marie Curie (P6)","institution_ids":["https://openalex.org/I4210147464","https://openalex.org/I50863359"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5088444316","display_name":"Benedikt Wilbertz","orcid":null},"institutions":[{"id":"https://openalex.org/I4210147464","display_name":"Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires","ror":"https://ror.org/04hjc7403","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I204730241","https://openalex.org/I39804081","https://openalex.org/I4210141950","https://openalex.org/I4210147464"]},{"id":"https://openalex.org/I50863359","display_name":"Marie Curie","ror":"https://ror.org/02aqv1x10","country_code":"GB","type":"nonprofit","lineage":["https://openalex.org/I50863359"]}],"countries":["FR","GB"],"is_corresponding":false,"raw_author_name":"B Wilbertz","raw_affiliation_strings":["Labo. de Probabilit\u00e9s & Mod\u00e8les Al\u00e8atoires, University Pierre and Marie Curie, France","Labo. de Probabilit\u00e9s & Mod\u00e8les Al\u00e9atoires, Univ. Pierre & Marie Curie (P6)"],"affiliations":[{"raw_affiliation_string":"Labo. de Probabilit\u00e9s & Mod\u00e8les Al\u00e8atoires, University Pierre and Marie Curie, France","institution_ids":["https://openalex.org/I4210147464"]},{"raw_affiliation_string":"Labo. de Probabilit\u00e9s & Mod\u00e8les Al\u00e9atoires, Univ. Pierre & Marie Curie (P6)","institution_ids":["https://openalex.org/I4210147464","https://openalex.org/I50863359"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5090083053"],"corresponding_institution_ids":["https://openalex.org/I4210147464","https://openalex.org/I50863359"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.20015503,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"370","last_page":"375"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9765999913215637,"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":0.9765999913215637,"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/T11181","display_name":"Advanced Data Storage Technologies","score":0.968500018119812,"subfield":{"id":"https://openalex.org/subfields/1705","display_name":"Computer Networks and Communications"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10715","display_name":"Distributed and Parallel Computing Systems","score":0.9677000045776367,"subfield":{"id":"https://openalex.org/subfields/1705","display_name":"Computer Networks and Communications"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/general-purpose-computing-on-graphics-processing-units","display_name":"General-purpose computing on graphics processing units","score":0.8088250160217285},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.7984691262245178},{"id":"https://openalex.org/keywords/cuda","display_name":"CUDA","score":0.6772947907447815},{"id":"https://openalex.org/keywords/exploit","display_name":"Exploit","score":0.6277111768722534},{"id":"https://openalex.org/keywords/quantization","display_name":"Quantization (signal processing)","score":0.5754230618476868},{"id":"https://openalex.org/keywords/parallel-computing","display_name":"Parallel computing","score":0.5557218194007874},{"id":"https://openalex.org/keywords/computation","display_name":"Computation","score":0.4576692581176758},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.4349093735218048},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.43306878209114075},{"id":"https://openalex.org/keywords/gaussian","display_name":"Gaussian","score":0.42004936933517456},{"id":"https://openalex.org/keywords/graphics","display_name":"Graphics","score":0.2639164328575134},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.10191464424133301}],"concepts":[{"id":"https://openalex.org/C50630238","wikidata":"https://www.wikidata.org/wiki/Q971505","display_name":"General-purpose computing on graphics processing units","level":3,"score":0.8088250160217285},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.7984691262245178},{"id":"https://openalex.org/C2778119891","wikidata":"https://www.wikidata.org/wiki/Q477690","display_name":"CUDA","level":2,"score":0.6772947907447815},{"id":"https://openalex.org/C165696696","wikidata":"https://www.wikidata.org/wiki/Q11287","display_name":"Exploit","level":2,"score":0.6277111768722534},{"id":"https://openalex.org/C28855332","wikidata":"https://www.wikidata.org/wiki/Q198099","display_name":"Quantization (signal processing)","level":2,"score":0.5754230618476868},{"id":"https://openalex.org/C173608175","wikidata":"https://www.wikidata.org/wiki/Q232661","display_name":"Parallel computing","level":1,"score":0.5557218194007874},{"id":"https://openalex.org/C45374587","wikidata":"https://www.wikidata.org/wiki/Q12525525","display_name":"Computation","level":2,"score":0.4576692581176758},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.4349093735218048},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.43306878209114075},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.42004936933517456},{"id":"https://openalex.org/C21442007","wikidata":"https://www.wikidata.org/wiki/Q1027879","display_name":"Graphics","level":2,"score":0.2639164328575134},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.10191464424133301},{"id":"https://openalex.org/C121684516","wikidata":"https://www.wikidata.org/wiki/Q7600677","display_name":"Computer graphics (images)","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/hpcs.2010.5547113","is_oa":false,"landing_page_url":"https://doi.org/10.1109/hpcs.2010.5547113","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2010 International Conference on High Performance Computing & Simulation","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":9,"referenced_works":["https://openalex.org/W1576475658","https://openalex.org/W1811570306","https://openalex.org/W2082176355","https://openalex.org/W2087197119","https://openalex.org/W2102197848","https://openalex.org/W3099273337","https://openalex.org/W3123843963","https://openalex.org/W6634316405","https://openalex.org/W6675327305"],"related_works":["https://openalex.org/W1963859303","https://openalex.org/W2364044215","https://openalex.org/W2389600408","https://openalex.org/W240129890","https://openalex.org/W3048701459","https://openalex.org/W2149078538","https://openalex.org/W2370314112","https://openalex.org/W1912958759","https://openalex.org/W2792081825","https://openalex.org/W2893308117"],"abstract_inverted_index":{"The":[0],"Quantization":[1,42],"Tree":[2],"algorithm":[3],"has":[4],"proven":[5],"to":[6,56,91],"be":[7],"quite":[8,103],"an":[9],"efficient":[10],"tool":[11],"for":[12,81],"the":[13,36,40,60,77,110,129],"evaluation":[14],"of":[15,35,59,65,76,100,133],"financial":[16],"derivatives":[17],"with":[18,96],"non-vanilla":[19],"exercise":[20],"rights":[21],"as":[22],"American-,":[23],"Bermudan-or":[24],"Swing":[25],"options.":[26],"Nevertheless,":[27],"it":[28,53,106],"relies":[29],"heavily":[30],"on":[31],"a":[32,73,82,97,121],"fast":[33],"computation":[34],"transition":[37,78],"probabilities":[38],"in":[39,70,86,93],"underlying":[41],"Tree.":[43],"Since":[44,88],"this":[45,71,94],"estimation":[46,80],"is":[47,54,115],"typically":[48],"done":[49],"by":[50,135],"Monte-Carlo":[51],"simulations,":[52],"appealing":[55],"take":[57],"advantage":[58],"massive":[61],"parallel":[62,74,113,130],"computing":[63,131],"capabilities":[64],"modern":[66],"GPGPU-devices.":[67],"We":[68,118],"present":[69,120],"article":[72],"implementation":[75,114],"probability":[79],"Gaussian":[83],"2-factor":[84],"model":[85],"CUDA.":[87],"we":[89],"have":[90],"deal":[92],"case":[95],"huge":[98],"amount":[99],"data":[101],"and":[102],"long":[104],"MC-paths,":[105],"turned":[107],"out":[108],"that":[109],"naive":[111],"pathwise":[112],"not":[116],"optimal.":[117],"therefore":[119],"time-layer":[122],"wise":[123],"parallelization":[124],"which":[125],"can":[126],"better":[127],"exploit":[128],"power":[132],"GPGPU-devices":[134],"using":[136],"faster":[137],"memory":[138],"structures.":[139]},"counts_by_year":[{"year":2015,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}