Optimization algorithm for computing options for the hybrid system

Standard

Optimization algorithm for computing options for the hybrid system. / Khmel, D. S.; Stepanov, E. A.; Bogdanov, A. V.

In: CEUR Workshop Proceedings, Vol. 1787, 2016, p. 289-294.

Research output: Contribution to journal › Conference article › peer-review

Harvard

Khmel, DS, Stepanov, EA & Bogdanov, AV 2016, 'Optimization algorithm for computing options for the hybrid system', CEUR Workshop Proceedings, vol. 1787, pp. 289-294.

APA

Khmel, D. S., Stepanov, E. A., & Bogdanov, A. V. (2016). Optimization algorithm for computing options for the hybrid system. CEUR Workshop Proceedings, 1787, 289-294.

Vancouver

Khmel DS, Stepanov EA, Bogdanov AV. Optimization algorithm for computing options for the hybrid system. CEUR Workshop Proceedings. 2016;1787:289-294.

Author

Khmel, D. S. ; Stepanov, E. A. ; Bogdanov, A. V. / Optimization algorithm for computing options for the hybrid system. In: CEUR Workshop Proceedings. 2016 ; Vol. 1787. pp. 289-294.

BibTeX

@article{edef04675b894ca2997df6f1e99f0ba8,

title = "Optimization algorithm for computing options for the hybrid system",

abstract = "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.",

keywords = "Asian option, CUDA, European option, GPGPU, Hybrid system, Monte-Carlo method",

author = "Khmel, {D. S.} and Stepanov, {E. A.} and Bogdanov, {A. V.}",

note = "Publisher Copyright: {\textcopyright} 2016 Dmitry S. Khmel, Eduard A. Stepanov, Aleksandr V. Bogdanov. Copyright: Copyright 2017 Elsevier B.V., All rights reserved.; 7th International Conference Distributed Computing and Gridtechnologies in Science and Education, GRID 2016 ; Conference date: 04-07-2016 Through 09-07-2016",

year = "2016",

language = "English",

volume = "1787",

pages = "289--294",

journal = "CEUR Workshop Proceedings",

issn = "1613-0073",

publisher = "RWTH Aahen University",

}

RIS

TY - JOUR

T1 - Optimization algorithm for computing options for the hybrid system

AU - Khmel, D. S.

AU - Stepanov, E. A.

AU - Bogdanov, A. V.

PY - 2016

Y1 - 2016

N2 - 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.

AB - 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.

KW - Asian option

KW - CUDA

KW - European option

KW - GPGPU

KW - Hybrid system

KW - Monte-Carlo method

UR - http://www.scopus.com/inward/record.url?scp=85016208189&partnerID=8YFLogxK

M3 - Conference article

AN - SCOPUS:85016208189

VL - 1787

SP - 289

EP - 294

JO - CEUR Workshop Proceedings

JF - CEUR Workshop Proceedings

SN - 1613-0073

T2 - 7th International Conference Distributed Computing and Gridtechnologies in Science and Education, GRID 2016

Y2 - 4 July 2016 through 9 July 2016

ER -

ID: 77309162