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High dimensional pricing of exotic European contracts on a GPU Cluster, and comparison to a CPU cluster

Lokman A. Abbas-Turki, Stephane Vialle, Bernard Lapeyre, Patrick Mercier
Appl. Probability Res. Group, ENPC-CERMICS, Champs-sur-Marne, France
IEEE International Symposium on Parallel & Distributed Processing, 2009. IPDPS 2009

@article{abbas2009high,

   title={High dimensional pricing of exotic European contracts on a GPU Cluster, and comparison to a CPU cluster},

   author={Abbas-Turki, L.A. and Vialle, S. and Lapeyre, B. and Mercier, P.},

   year={2009},

   publisher={IEEE}

}

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The aim of this paper is the efficient use of CPU and GPU clusters for a general path-dependent exotic European pricing, and their comparison in terms of speed and energy consumption. To reach our goal, we propose a parallel random number generator which is well suited to the parallelization paradigm, then, we implement a multidimensional Asian contract as a benchmark using g++/OpenMP/OpenMPI on CPUs and CUDA-nvcc/OpenMPI on GPUs. Finally, we give the detailed results of the two architectures for different size problems using 1-16 GPUs and 1-256 dual-core CPUs.
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