DocumentCode
2028841
Title
Efficient Asian option pricing with CUDA
Author
Yuzhanin, Artur ; Gankevich, Ivan ; Stepanov, Eduard ; Korkhov, Vladimir
Author_Institution
Fac. of Appl. Math. & Control Processes, St. Petersburg State Univ., St. Petersburg, Russia
fYear
2015
fDate
20-24 July 2015
Firstpage
623
Lastpage
628
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
Monte Carlo methods; graphics processing units; integral equations; mathematics computing; parallel architectures; partial differential equations; pricing; Asian option pricing method; CUDA technology; GPU; Monte Carlo methods; partial differential equation; path integral equation; simulation algorithms; Arrays; Graphics processing units; Instruction sets; Kernel; Mathematical model; Pricing; Random variables;
fLanguage
English
Publisher
ieee
Conference_Titel
High Performance Computing & Simulation (HPCS), 2015 International Conference on
Conference_Location
Amsterdam
Print_ISBN
978-1-4673-7812-3
Type
conf
DOI
10.1109/HPCSim.2015.7237103
Filename
7237103
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