Porting the algorithm for calculating an asian option to a new processing architecture

Eduard Stepanov, Dmitry Khmel, Vladimir Mareev, Nikita Storublevtcev, Alexander Bogdanov

Research output

Abstract

This article describes some numerical approaches for solving the problem of pricing derivatives. These approaches are based on the Monte Carlo and finite difference methods. A number of techniques are given that provide a possibility to optimize the computational algorithms for their use on graphics processors. A software and hardware complex is also described that allows to increase the efficiency of calculations.

Original languageEnglish
Title of host publicationComputational Science and Its Applications – ICCSA 2018 - 18th International Conference, 2018, Proceedings
EditorsBeniamino Murgante, Bernady O. Apduhan, Ana Maria Rocha, David Taniar, Eufemia Tarantino, Yeonseung Ryu, Osvaldo Gervasi, Sanjay Misra, Elena Stankova, Carmelo M. Torre
PublisherSpringer
Pages113-122
Number of pages10
ISBN (Print)9783319951706
DOIs
Publication statusPublished - 1 Jan 2018
Event18th International Conference on Computational Science and Its Applications, ICCSA 2018 - Melbourne
Duration: 2 Jul 20185 Jul 2018

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume10963 LNCS
ISSN (Print)0302-9743
ISSN (Electronic)1611-3349

Conference

Conference18th International Conference on Computational Science and Its Applications, ICCSA 2018
CountryAustralia
CityMelbourne
Period2/07/185/07/18

Fingerprint

Asian Options
Graphics Processors
Computational Algorithm
Finite difference method
Difference Method
Pricing
Finite Difference
Optimise
Hardware
Derivatives
Derivative
Software
Processing
Costs
Architecture

Scopus subject areas

  • Theoretical Computer Science
  • Computer Science(all)

Cite this

Stepanov, E., Khmel, D., Mareev, V., Storublevtcev, N., & Bogdanov, A. (2018). Porting the algorithm for calculating an asian option to a new processing architecture. In B. Murgante, B. O. Apduhan, A. M. Rocha, D. Taniar, E. Tarantino, Y. Ryu, O. Gervasi, S. Misra, E. Stankova, ... C. M. Torre (Eds.), Computational Science and Its Applications – ICCSA 2018 - 18th International Conference, 2018, Proceedings (pp. 113-122). (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 10963 LNCS). Springer. https://doi.org/10.1007/978-3-319-95171-3_10
Stepanov, Eduard ; Khmel, Dmitry ; Mareev, Vladimir ; Storublevtcev, Nikita ; Bogdanov, Alexander. / Porting the algorithm for calculating an asian option to a new processing architecture. Computational Science and Its Applications – ICCSA 2018 - 18th International Conference, 2018, Proceedings. editor / Beniamino Murgante ; Bernady O. Apduhan ; Ana Maria Rocha ; David Taniar ; Eufemia Tarantino ; Yeonseung Ryu ; Osvaldo Gervasi ; Sanjay Misra ; Elena Stankova ; Carmelo M. Torre. Springer, 2018. pp. 113-122 (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)).
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keywords = "Finite difference methods, GPGPU, Monte Carlo method, Option pricing",
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Stepanov, E, Khmel, D, Mareev, V, Storublevtcev, N & Bogdanov, A 2018, Porting the algorithm for calculating an asian option to a new processing architecture. in B Murgante, BO Apduhan, AM Rocha, D Taniar, E Tarantino, Y Ryu, O Gervasi, S Misra, E Stankova & CM Torre (eds), Computational Science and Its Applications – ICCSA 2018 - 18th International Conference, 2018, Proceedings. Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), vol. 10963 LNCS, Springer, pp. 113-122, Melbourne, 2/07/18. https://doi.org/10.1007/978-3-319-95171-3_10

Porting the algorithm for calculating an asian option to a new processing architecture. / Stepanov, Eduard; Khmel, Dmitry; Mareev, Vladimir; Storublevtcev, Nikita; Bogdanov, Alexander.

Computational Science and Its Applications – ICCSA 2018 - 18th International Conference, 2018, Proceedings. ed. / Beniamino Murgante; Bernady O. Apduhan; Ana Maria Rocha; David Taniar; Eufemia Tarantino; Yeonseung Ryu; Osvaldo Gervasi; Sanjay Misra; Elena Stankova; Carmelo M. Torre. Springer, 2018. p. 113-122 (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 10963 LNCS).

Research output

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T1 - Porting the algorithm for calculating an asian option to a new processing architecture

AU - Stepanov, Eduard

AU - Khmel, Dmitry

AU - Mareev, Vladimir

AU - Storublevtcev, Nikita

AU - Bogdanov, Alexander

PY - 2018/1/1

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N2 - This article describes some numerical approaches for solving the problem of pricing derivatives. These approaches are based on the Monte Carlo and finite difference methods. A number of techniques are given that provide a possibility to optimize the computational algorithms for their use on graphics processors. A software and hardware complex is also described that allows to increase the efficiency of calculations.

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KW - Finite difference methods

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PB - Springer

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Stepanov E, Khmel D, Mareev V, Storublevtcev N, Bogdanov A. Porting the algorithm for calculating an asian option to a new processing architecture. In Murgante B, Apduhan BO, Rocha AM, Taniar D, Tarantino E, Ryu Y, Gervasi O, Misra S, Stankova E, Torre CM, editors, Computational Science and Its Applications – ICCSA 2018 - 18th International Conference, 2018, Proceedings. Springer. 2018. p. 113-122. (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)). https://doi.org/10.1007/978-3-319-95171-3_10