Efficient Asian option pricing with CUDA

A. Yuzhanin; I. Gankevich; E. Stepanov; V. Korkhov

doi:10.1109/HPCSim.2015.7237103

Efficient Asian option pricing with CUDA

A. Yuzhanin, I. Gankevich, E. Stepanov, V. Korkhov

Кафедра компьютерного моделирования и многопроцессорных систем

Research output

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 language	English
Title of host publication	Proceedings of International Conference on High Performance Computing Simulation (HPCS), 2015
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	623-628
ISBN (Print)	9781467378123
DOIs	https://doi.org/10.1109/HPCSim.2015.7237103
Publication status	Published - 2015

Access to Document

10.1109/HPCSim.2015.7237103

http://ieeexplore.ieee.org/xpls/abs_all.jsp?arnumber=7237103

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title = "Efficient Asian option pricing with CUDA",

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.",

keywords = "Arrays, Graphics processing units, Instruction sets, Kernel, Mathematical model, Pricing, Random variables",

author = "A. Yuzhanin and I. Gankevich and E. Stepanov and V. Korkhov",

year = "2015",

doi = "10.1109/HPCSim.2015.7237103",

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T1 - Efficient Asian option pricing with CUDA

AU - Yuzhanin, A.

AU - Gankevich, I.

AU - Stepanov, E.

AU - Korkhov, V.

PY - 2015

Y1 - 2015

N2 - 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.

AB - 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.

KW - Arrays

KW - Graphics processing units

KW - Instruction sets

KW - Kernel

KW - Mathematical model

KW - Pricing

KW - Random variables

U2 - 10.1109/HPCSim.2015.7237103

DO - 10.1109/HPCSim.2015.7237103

M3 - Conference contribution

SN - 9781467378123

SP - 623

EP - 628

BT - Proceedings of International Conference on High Performance Computing Simulation (HPCS), 2015

PB - Institute of Electrical and Electronics Engineers Inc.

ER -