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Accelerating exotic option pricing and model calibration using GPUs

Andre Bernemann, Ralph Schreyer, Klaus Spanderen
Financial Engineering Equity Markets, WestLB AG, Dusseldorf, Germany
Social Science Research Network, 2011

@article{bernemann2011accelerating,

   title={Accelerating exotic option pricing and model calibration using gpus},

   author={Bernemann, A. and Schreyer, R. and Spanderen, K.},

   journal={Social Science Research Network},

   pages={1–19},

   year={2011}

}

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Pricing and risk analysis for today’s exotic structured equity products is computationally more and more demanding and time consuming. GPUs offer the possibility to significantly increase computing performance even at reduced costs. We applied this technology to replace a large amount of our CPU based computing grid by hybrid GPU/CPU pricing engines. One GPU based pricing engine with two Tesla C1060 replaced 140 CPU cores in performing Monte Carlo based simulation of our productive structured equity portfolio with the local and stochastic volatility models. Instantaneous calibration of the piecewise timedependent Heston model on a single GPU is enabled.
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