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Benchmarking Across Platforms: European Option Pricing

Igor N. Kozin
Department of Computational Science and Engineering, STFC Daresbury Laboratory, Daresbury, Warrington, WA4 4AD, UK
STFC Daresbury Laboratory, 2011

@article{kozin2011benchmarking,

   title={Benchmarking Across Platforms: European Option Pricing},

   author={Kozin, I.N.},

   year={2011}

}

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Using a popular Monte Carlo workload which implements European option pricing, we tested a variety of architectures including NVIDIA and AMD GPUs, ClearSpeed accelerator and multi-core processors and different programming approaches. We conclude that this particular workload seems most suitable for running on GPU type of architecture compared to other alternatives such as CPU or Cell. Furthermore, in order to achieve sufficiently high performance, one does not even need to use CUDA or OpenCL since higherlevel alternatives such as HMPP are perfectly adequate.
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