{"id":3981,"date":"2011-05-15T20:29:34","date_gmt":"2011-05-15T20:29:34","guid":{"rendered":"http:\/\/hgpu.org\/?p=3981"},"modified":"2011-05-15T20:29:34","modified_gmt":"2011-05-15T20:29:34","slug":"high-dimensional-pricing-of-exotic-european-contracts-on-a-gpu-cluster-and-comparison-to-a-cpu-cluster","status":"publish","type":"post","link":"https:\/\/hgpu.org\/?p=3981","title":{"rendered":"High dimensional pricing of exotic European contracts on a GPU Cluster, and comparison to a CPU cluster"},"content":{"rendered":"<p>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.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>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 [&hellip;]<\/p>\n","protected":false},"author":351,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":false,"jetpack_social_options":{"image_generator_settings":{"template":"highway","default_image_id":0,"font":"","enabled":false},"version":2}},"categories":[89,576,3],"tags":[14,1804,106,20,226,252],"class_list":["post-3981","post","type-post","status-publish","format-standard","hentry","category-nvidia-cuda","category-finance","category-paper","tag-cuda","tag-finance","tag-gpu-cluster","tag-nvidia","tag-nvidia-geforce-8800-gt","tag-openmp"],"views":1901,"jetpack_publicize_connections":[],"jetpack_featured_media_url":"","jetpack_sharing_enabled":true,"_links":{"self":[{"href":"https:\/\/hgpu.org\/index.php?rest_route=\/wp\/v2\/posts\/3981","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/hgpu.org\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/hgpu.org\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/hgpu.org\/index.php?rest_route=\/wp\/v2\/users\/351"}],"replies":[{"embeddable":true,"href":"https:\/\/hgpu.org\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=3981"}],"version-history":[{"count":0,"href":"https:\/\/hgpu.org\/index.php?rest_route=\/wp\/v2\/posts\/3981\/revisions"}],"wp:attachment":[{"href":"https:\/\/hgpu.org\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=3981"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/hgpu.org\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=3981"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/hgpu.org\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=3981"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}