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wchan / HestonCUDA

CUDA Implementation of the Heston Model for Option Pricing

Home Page:http://www.sv.cmu.edu/

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HestonCuda

Required Libraries

apt-get install libgsl0-dev libgsl0-dbg libblas-dev libblas3gf libblas-dev libfftw-3.3 thrust

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CUDA Implementation of the Heston Model for Option Pricing

http://www.sv.cmu.edu/

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Language:C++ 86.4%Language:MATLAB 13.6%