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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. стр. 623-628.

Результаты исследований: Публикации в книгах, отчётах, сборниках, трудах конференций › статья в сборнике материалов конференции › научная

Harvard

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

APA

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

Vancouver

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

Author

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. стр. 623-628

BibTeX

@inproceedings{7ee21050b5904ffcab38f2052ae4078d,
title = "Efficient Asian option pricing with CUDA",
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.",
keywords = "Arrays, Graphics processing units, Instruction sets, Kernel, Mathematical model, Pricing, Random variables",
author = "A. Yuzhanin and I. Gankevich and E. Stepanov and V. Korkhov",
year = "2015",
doi = "10.1109/HPCSim.2015.7237103",
language = "English",
isbn = "9781467378123",
pages = "623--628",
booktitle = "Proceedings of International Conference on High Performance Computing Simulation (HPCS), 2015",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
address = "United States",

}

RIS

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

EP - 628

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

PB - Institute of Electrical and Electronics Engineers Inc.

ER -

ID: 3943855