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kwinto-cuda

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Finite-difference option pricer for GPU

american-options cuda finite-difference gpu option-pricing

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Name		Name	Last commit message	Last commit date
.vs		.vs
log		log
src		src
test		test
.gitignore		.gitignore
CMakeLists.txt		CMakeLists.txt
CMakePresets.json		CMakePresets.json
CMakeSettings.json		CMakeSettings.json
Makefile		Makefile
README.md		README.md
vcpkg.json		vcpkg.json

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kwinto-cuda

Contains implementation of the finite-difference pricer for American options on CPU and GPU.

More details on TastyHedge blog:

Requirements

CMake
C++ compiler
- MSVC on Windows
- GCC / Clang on Linux

About

Finite-difference option pricer for GPU

american-options cuda finite-difference gpu option-pricing

14 stars

3 watching

Report repository

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