Graphical Asian Options
Centre for Actuarial Studies, Department of Economics, University of Melbourne, Victoria 3010, Australia
Wilmott Journal, Volume 2, Issue 2, pages 97-107, April 2010
DOI:10.1002/wilj.26
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 possible to get prices that are accurate to 2E-4 within a fiftieth of a second.
November 23, 2010 by hgpu
