American Options Pricing on Multi-Core Graphic Cards

被引：7

作者：

Abbas-Turki, L. A. ^{[1
]}

Lapeyre, B. ^{[1
]}

机构：

[1] Univ Paris Est, CERMICS, Appl Probabil Res Grp, Champs Sur Marne, France

来源：

2009 INTERNATIONAL CONFERENCE ON BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING, PROCEEDINGS | 2009年

关键词：

D O I：

10.1109/BIFE.2009.77

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The aim of this paper is to explore the performances of Graphics Processing Units (GPU) on the American options pricing problem using the Longstaff and Schwartz method. This exploration includes a parallelization study of the different phases of American options pricing. We also give a comparison between CPU and GPU in pricing one-dimensional contracts. Finally, we investigate the running time of multidimensional contract pricing. We use NVIDIA Cg Toolkit for GPU programming and the comparison with CPU will be done against an open-source library implementation of the Longstaff and Schwartz algorithm.

引用

页码：307 / 311

页数：5

共 13 条

[1]

ABBASTURKI LA, 2009, PAR DISTR COMP FIN I

[2] A quantization algorithm for solving multidimensional discrete-time optimal stopping problems [J].

Bally, V ;

Pagés, G .

BERNOULLI, 2003, 9 (06) :1003-1049

[3]

Bally V., 2003, 4804 INRIA

[4]

CHOUDHURY AR, 2008, IEEE INT PAR DISTR P

[5]

CLEMENT E, 2002, FINANCE STOCHASTICS, V6

[6]

Glasserman P., 2003, MONTE CARLO METHODS

[7]

GLASSERMAN P, 2004, ANN APPL PROBABILITY, V14

[8]

LECUYER P, 2002, OPERATIONS RES, V50

[9]

LECUYER P, 1996, OPERATIONS RES, V44

[10]

LONGSTAFF F, 2001, REV FINANCIAL STUDIE, V14

← 1 2 →