Name		Name	Last commit message	Last commit date
.vs		.vs
log		log
src		src
test		test
.gitignore		.gitignore
CMakeLists.txt		CMakeLists.txt
CMakePresets.json		CMakePresets.json
CMakeSettings.json		CMakeSettings.json
Makefile		Makefile
README.md		README.md
vcpkg.json		vcpkg.json

Repository files navigation

kwinto-cuda

Contains implementation of the finite-difference pricer for American options on CPU and GPU.

More details on TastyHedge blog:

Requirements

CMake
C++ compiler
- MSVC on Windows
- GCC / Clang on Linux

About

Finite-difference option pricer for GPU

american-options cuda finite-difference gpu option-pricing

14 stars

3 watching

Report repository

Releases

Packages

Used by

Contributors

Languages