Tagged Questions

7
votes
1answer
223 views

When pricing options, what precision should I work with?

I'm wondering if there's any point at all in double-precision calculations, or whether it's ok to just do everything in single-precision, seeing how the difference on non-Tesla GPUs for single and ...
8
votes
3answers
724 views

What tools are used to numerically solve differential equations in Quantitative Finance?

There are a lot of Quantitative Finance models (e.g. Black-Scholes) which are formulated in terms of partial differential equations. What is a standard approach in Quantitative Finance to solve these ...