Efficient Asian option pricing with CUDA

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

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 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

Fingerprint

Partial differential equations
Program processors
Costs
Monte Carlo methods
Graphics processing unit

Cite this

Yuzhanin, A., Gankevich, I., Stepanov, E., & Korkhov, V. (2015). Efficient Asian option pricing with CUDA. In Proceedings of International Conference on High Performance Computing Simulation (HPCS), 2015 (pp. 623-628). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/HPCSim.2015.7237103
Yuzhanin, A. ; Gankevich, I. ; Stepanov, E. ; Korkhov, V. / Efficient Asian option pricing with CUDA. Proceedings of International Conference on High Performance Computing Simulation (HPCS), 2015. Institute of Electrical and Electronics Engineers Inc., 2015. pp. 623-628
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Yuzhanin, A, Gankevich, I, Stepanov, E & Korkhov, V 2015, Efficient Asian option pricing with CUDA. in Proceedings of International Conference on High Performance Computing Simulation (HPCS), 2015. Institute of Electrical and Electronics Engineers Inc., pp. 623-628. https://doi.org/10.1109/HPCSim.2015.7237103

Efficient Asian option pricing with CUDA. / Yuzhanin, A.; Gankevich, I.; Stepanov, E.; Korkhov, V.

Proceedings of International Conference on High Performance Computing Simulation (HPCS), 2015. Institute of Electrical and Electronics Engineers Inc., 2015. p. 623-628.

Research output

TY - GEN

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

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

PB - Institute of Electrical and Electronics Engineers Inc.

ER -

Yuzhanin A, Gankevich I, Stepanov E, Korkhov V. Efficient Asian option pricing with CUDA. In Proceedings of International Conference on High Performance Computing Simulation (HPCS), 2015. Institute of Electrical and Electronics Engineers Inc. 2015. p. 623-628 https://doi.org/10.1109/HPCSim.2015.7237103