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 Nature
Pages113-122
Number of pages10
ISBN (Print)9783319951706
DOIs
StatePublished - 1 Jan 2018
Event18th International Conference on Computational Science and Its Applications, ICCSA 2018 - Melbourne, Australia
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
Country/TerritoryAustralia
CityMelbourne
Period2/07/185/07/18

    Scopus subject areas

  • Theoretical Computer Science
  • Computer Science(all)

    Research areas

  • Finite difference methods, GPGPU, Monte Carlo method, Option pricing

ID: 36697333