In this article the problem of performance optimization for estimation of European and Asian options pricing is discussed. The main goal is to substantially improve the performance in solving the problems on the hybrid system. The authors optimized the algorithms of the Monte Carlo method for solving stochastic differential equations and path integral derived from Black-Scholes model for pricing options.

Original languageEnglish
Article number012007
JournalJournal of Physics: Conference Series
Volume681
Issue number1
DOIs
StatePublished - 3 Feb 2016
EventInternational Conference on Computer Simulation in Physics and Beyond 2015, CSP 2015 - Moscow, Russian Federation
Duration: 6 Sep 201510 Sep 2015

    Scopus subject areas

  • Physics and Astronomy(all)

ID: 77309277