In the article the problem of optimization of GPGPU option pricing algorithms. The main goal to achieve maximum efficiency from the use of the hybrid system. The authors offered some transformation algorithm derived from Blake-Scholes model for pricing European and Asian option on the Monte Carlo method based on GPGPU architecture features. The basic idea is the constant optimization of work with one large array of data.

Original languageEnglish
Pages (from-to)289-294
Number of pages6
JournalCEUR Workshop Proceedings
Volume1787
StatePublished - 2016
Event7th International Conference Distributed Computing and Gridtechnologies in Science and Education, GRID 2016 - Dubna, Russian Federation
Duration: 4 Jul 2016 → 9 Jul 2016

    Research areas

  • Asian option, CUDA, European option, GPGPU, Hybrid system, Monte-Carlo method

    Scopus subject areas

  • Computer Science(all)

ID: 77309162