Basket Option Pricing Using GP-GPU Hardware Acceleration

摘要：

We introduce a basket option pricing problem arisen in financial mathematics. We discretized the problem based on the alternating direction implicit (ADI) method and parallel cyclic reduction is applied to solve the set of tridiagonal matrices generated by the ADI method. To reduce the computational time of the problem, a general purpose graphics processing units (GP-GPU) environment is considered. Numerical results confirm the convergence and efficiency of the proposed method.

关键词： component option basket option ADI method GP-GPU GPU CUDA

作者: Craig C. Douglas Hyoseop Lee

作者单位: School of Energy Resources and Mathematics Department University of Wyoming Laramie, Wyoming 82071-3 Mathematics Department University of Wyoming Laramie, Wyoming 82071-3036, USA

会议类型: 国际会议

会议名称: 第九届分布式计算及其应用国际学术研讨会

会议地点: 香港

会议语种:英文

页码: 46-49

在线出版日期: 2010-08-12（万方平台首次上网日期，不代表论文的发表时间）