Heterogeneous COS pricing of rainbow options. - Aurelien Cassagnes; Yu Chen 007; Hirotada Ohashi (WHPCF@SC, 2013)

Heterogeneous Computation of Rainbow Option prices using Fourier cosine Series Expansion under a mixed CPU-GPU Computation Framework. - Aurelien Cassagnes; Yu Chen 007; Hirotada Ohashi (Intell. Syst. Account. Finance Manag., 2014)

Shuffle up and deal: accelerating GPGPU Monte Carlo simulation with application to option pricing. - Aurelien Cassagnes; Yu Chen 007; Hirotada Ohashi (Concurr. Comput. Pract. Exp., 2015)