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Solutions for Optimizing the Monte Carlo Option Pricing Method’s Implementation Using the Compute Unified Device Architecture

Ion Lungu, Dana-Mihaela Petrosanu, Alexandru Pirjan
Economic Informatics Department, Academy of Economic Studies, Bucharest, Romania
University Politechnica of Bucharest Scientific Bulletin, Series A – Number 3, 2013

@article{lungu2013solutions,

   title={SOLUTIONS FOR OPTIMIZING THE MONTE CARLO OPTION PRICING METHOD’S IMPLEMENTATION USING THE COMPUTE UNIFIED DEVICE ARCHITECTURE},

   author={LUNGU, Ion and PETRO{c{S}}ANU, Dana-Mihaela and P{^I}RJAN, Alexandru},

   year={2013}

}

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Finance-related problems require more and more computations; therefore, the problem of finding efficient implementations for option pricing models on modern architectures has become an important challenge. Although there are numerous implementations of the Monte Carlo method on central processing units, many of them face limitations arising from the necessary increased computational power. In this paper, we have implemented the Monte Carlo approach to option pricing using the Compute Unified Device Architecture and its optimization solutions.
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