5947
Joakim Ahnfelt-Ronne, Michael Flaeno Werk
We present a language for specifying stochastic processes, called SPL. We show that SPL can express the price of a range of financial contracts, including so called exotic options with path dependence and with multiple sources of uncertainty. Jones, Eber and Seward previously presented a language for writing down financial contracts in a compositional manner […]
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Mark Joshi
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 […]
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