American Options Pricing on Multi-Core Graphic Cards

摘要：

The aim of this paper is to explore the performances of Graphics Processing Units (GPU) on the American options pricing problem using the Longstaff and Schwartz method. This exploration includes a parallelization study of the different phases of American options pricing. We also give a comparison between CPU and GPU in pricing one-dimensional contracts. Finally, we investigate the running time of multidimensional contract pricing. We use NVIDIA Cg Toolkit for GPU programming and the comparison with CPU will be done against an open-source library implementation of the Longstaff and Schwartz algorithm.

作者: L.A.Abbas-Turki B.Lapeyre

作者单位: Universite Paris-Est, CERMICS Applied Probability Research Group Champs-sur-Mame, France

会议类型: 国际会议

会议名称: The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)(第二届商务智能与金融工程国际会议)

会议地点: 北京

会议语种:英文

页码: 307-311

在线出版日期: 2009-07-24（万方平台首次上网日期，不代表论文的发表时间）