Parallel Option Pricing with BSDE method on GPU
The development of the hardware changes program structure. Now the Graphic Processing Unit (GPU) has evolved into an extremely flexible, powerful and cost-efficient processor, which is specialized for compute intensive, massively data parallel computation. In the field of financial derivatives pricing and risk management, the Backward Stochastic Differential Equation (BSDE) is a robust tool. The aim of this paper is the efficient use of GPU acceleration for option pricing with BSDEs. Experimental results show that a GPU can achieve a superior performance, greater than 230x, compared with the CPU-only case.
GPU High Performance Computing Option Pricing BSDE Parallel
Bin Dai Ying Peng Bin Gong
School of Computer Science and Technology Shandong University Jinan 250101, P.R. China
国际会议
The Ninth International Conference on Grid and Cloud Computing(第九届网格与云计算国际学术会议 GCC 2010)
南京
英文
191-195
2010-11-01（万方平台首次上网日期，不代表论文的发表时间）