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
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;
Conference_Titel :
High Performance Computing & Simulation (HPCS), 2015 International Conference on
Conference_Location :
Amsterdam
Print_ISBN :
978-1-4673-7812-3
DOI :
10.1109/HPCSim.2015.7237103
