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.
|Title of host publication||Proceedings of International Conference on High Performance Computing Simulation (HPCS), 2015|
|Publisher||Institute of Electrical and Electronics Engineers Inc.|
|Publication status||Published - 2015|