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Graphical Asian Options

Mark Joshi
Centre for Actuarial Studies, Department of Economics, University of Melbourne, Victoria 3010, Australia
Wilmott Journal, Volume 2, Issue 2, pages 97-107, April 2010

@article{joshi2010graphical,

   title={Graphical Asian options},

   author={Joshi, M.S.},

   journal={Wilmott Journal},

   volume={2},

   number={2},

   pages={97–107},

   issn={1759-636X},

   year={2010},

   publisher={Wiley Online Library}

}

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We discuss the problem of pricing Asian options in Black-Scholes model using CUDA on a graphics processing unit. We survey some of the issues with GPU programming and discuss code design and memory usage. We show that by using a Quasi Monte Carlo simulation with a geometric Asian option as a control variate, it is possible to get prices that are accurate to 2E-4 within a fiftieth of a second.
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