Re: [Quantlib-dev] Quantlib port for pricing on GPU

[Luigi B. <lui...@gm...>]

I don't know what it provides, but did you try looking at Mark Joshi's
kooderive? (Not QuantLib-based, as far as I know.)

Luigi


On Sun, Mar 13, 2016 at 5:55 AM om.anand77 <om....@ou...> wrote:

> I came across a few old post mentioning quantlib port to run on CUDA.
>
> I am mainly interested in pricing of Equity Options.
>
> There seem to be a couple of open source projects utilizing quantlib that
> are cuda enabled. However they use basic pricing models. Dividend for most
> part is not supported and neither are american options.
>
> It would be helpful to get your answers in this regard.
>
>
>
>
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