3201

Option Pricing on the GPU

Steven Solomon, Ruppa K Thulasiram, Parimala Thulasiraman
Department of Computer Science, University of Manitoba, Winnipeg, MB, Canada
12th IEEE International Conference on High Performance Computing and Communications (HPCC), 2010, p.289-296

@conference{solomon2010option,

   title={Option Pricing on the GPU},

   author={Solomon, S. and Thulasiram, R.K. and Thulasiraman, P.},

   booktitle={2010 12th IEEE International Conference on High Performance Computing and Communications},

   pages={289–296},

   year={2010},

   organization={IEEE}

}

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In recent years, Graphics Processing Units (GPUs) have been opened to general purpose programming. As a result, researchers and developers have access to the massively parallel GPU architecture for applications beyond that of graphics rendering and gaming. We first investigate a design and implementation of the trinomial lattice strategy for the pricing of simple European options on the GPU. This implementation serves to allow a comparison to be made to an existing, alternative implementation on the GPU. Following this introduction, we design an algorithm for pricing an exotic American look back option and analyze its pricing performance on the GPU. This look back option pricing algorithm showcases tremendous speedup over a sequential CPU implementation and hence suitable for real-time application.
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