Computational Finance on the GPU
Computational Finance on the GPU
Computational Finance on the GPU
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
Finite Differences - Implicit<br />
• Relati<strong>on</strong>ship:<br />
– Three values at t and <strong>on</strong>e<br />
value at t + Δt<br />
• Always c<strong>on</strong>verges to<br />
soluti<strong>on</strong><br />
• Requires solving<br />
simultaneous equati<strong>on</strong>s