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Pricing barrier and American options under the SABR model on the graphics processing unit

✍ Scribed by Yu Tian; Zili Zhu; Fima C. Klebaner; Kais Hamza

Book ID: 118283119
Publisher: John Wiley and Sons
Year: 2011
Tongue: English
Weight: 271 KB
Volume: 24
Category: Article
ISSN: 1532-0626
DOI: 10.1002/cpe.1771

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