Abstract

In this paper the Monte Carlo methods of the Asian option pricing are considered. Among them are pricing method with path integral and partial differential equation. Simulation algorithms running on the CPU sequentially and algorithms running on the GPU in parallel using the CUDA technology were analyzed and compared.
Original languageEnglish
Title of host publicationProceedings of International Conference on High Performance Computing Simulation (HPCS), 2015
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages623-628
ISBN (Print)9781467378123
DOIs
Publication statusPublished - 2015

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