Title :
Option Pricing on the GPU with Backward Stochastic Differential Equation
Author :
Peng, Ying ; Gong, Bin ; Liu, Hui ; Dai, Bin
Author_Institution :
Sch. of Comput. Sci. & Technol., Shandong Univ., Jinan, China
Abstract :
In this paper, we develop acceleration strategies for option pricing with non-linear Backward Stochastic Differential Equation (BSDE), which appears as a robust and valuable tool in financial markets. An efficient binomial lattice based method is adopted to solve the BSDE numerically. In order to reduce the global memory access frequency, the kernel invocation is avoided to be performed on each time step. Furthermore, for evaluating the affect of load balance to the performance, we provide two different acceleration strategies and compare them with running time experiments. The acceleration algorithms exhibit tremendous speedup over the sequential CPU implementation and therefore suitable for real-time application.
Keywords :
differential equations; graphics processing units; pricing; resource allocation; stochastic processes; stock markets; BSDE; GPU; acceleration algorithm; acceleration strategies; binomial lattice based method; financial markets; global memory access frequency; kernel invocation; load balance; nonlinear backward stochastic differential equation; option pricing; Acceleration; Computational modeling; Graphics processing unit; Instruction sets; Kernel; Lattices; Pricing; Acceleration; BSDE; GPU; Option Pricing;
Conference_Titel :
Parallel Architectures, Algorithms and Programming (PAAP), 2011 Fourth International Symposium on
Conference_Location :
Tianjin
Print_ISBN :
978-1-4577-1808-3
DOI :
10.1109/PAAP.2011.12