Computational Finance on the GPU
Computational Finance on the GPU
Computational Finance on the GPU
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Finite Differences - Explicit<br />
• Relati<strong>on</strong>ship:<br />
– One value at t and three<br />
values at t + Δt<br />
• Compute nodes in<br />
parallel<br />
• Can diverge from<br />
soluti<strong>on</strong>