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Filtering by: Advisor Vermes, Domokos Keyword Black-Scholes Formula

Risk Measures Extracted from Option Market Data Using Massively Parallel Computing

Keyword:

Financial risk management, Massively parallel GPU comtuing, Stochastic volatility model, and Black-Scholes Formula

Creator:

Zhao, Min

Advisor:

Vermes, Domokos

Publisher:

Worcester Polytechnic Institute

Date Created:

2011-04-27

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences