BZ

B. Zhang

12 records found

Authored

Acceleration of option pricing technique on graphics processing units
Journal article (2014) - B. Zhang, C.W. Oosterlee

Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
Journal article (2014) - B. Zhang, C.W. Oosterlee

`Efficient pricing of European-style Asian options under exponential Levy processes based on Fourier cosine expansions.'
Journal article (2013) - B. Zhang, C.W. Oosterlee

An efficient pricing algorithm for swing options based on Fourier cosine expansions
Journal article (2013) - B. Zhang, C.W. Oosterlee

Efficient Pricing of Asian Options under L´evy Processes based on Fourier Cosine Expansions Part II Early¿Exercise Features and GPU Implementation

Efficient pricing of commodity options with early-exercise under the Ornstein¿Uhlenbeck process
Journal article (2012) - B. Zhang, L.A. Grzelak, C.W. Oosterlee

Efficient pricing of early-exercise and exotic options based on fourier cosine expansions
Doctoral thesis (2012) - B. Zhang

Efficient pricing of commodity options with early-exercise under the ornstein¿uhlenbeck process

Efficient pricing of asian options under L´evy processes
Report (2011) - B. Zhang, C.W. Oosterlee

Acceleration of option pricing technique on graphics processing units
Report (2010) - B. Zhang, C.W. Oosterlee

An efficient pricing algorithm for swing options based on Fourier cosine expansions
Report (2010) - B. Zhang, C.W. Oosterlee

Option pricing with COS method on graphics processing unit
Conference paper (2009) - B. Zhang, C.W. Oosterlee