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2010 Ninth International Conference on Grid and Cloud Computing
Parallel Option Pricing with BSDE Method on GPU
Nanjang, Jiangsu China
November 01-November 05
ISBN: 978-0-7695-4313-0
| ASCII Text | x | ||
| Bin Dai, Ying Peng, Bin Gong, "Parallel Option Pricing with BSDE Method on GPU," Grid and Cloud Computing, International Conference on, pp. 191-195, 2010 Ninth International Conference on Grid and Cloud Computing, 2010. | |||
| BibTex | x | ||
| @article{ 10.1109/GCC.2010.47, author = {Bin Dai and Ying Peng and Bin Gong}, title = {Parallel Option Pricing with BSDE Method on GPU}, journal ={Grid and Cloud Computing, International Conference on}, volume = {0}, year = {2010}, isbn = {978-0-7695-4313-0}, pages = {191-195}, doi = {http://doi.ieeecomputersociety.org/10.1109/GCC.2010.47}, publisher = {IEEE Computer Society}, address = {Los Alamitos, CA, USA}, } | |||
| RefWorks Procite/RefMan/Endnote | x | ||
| TY - CONF JO - Grid and Cloud Computing, International Conference on TI - Parallel Option Pricing with BSDE Method on GPU SN - 978-0-7695-4313-0 SP191 EP195 A1 - Bin Dai, A1 - Ying Peng, A1 - Bin Gong, PY - 2010 KW - GPU KW - High Performance Computing KW - Option Pricing KW - BSDE KW - Parallel VL - 0 JA - Grid and Cloud Computing, International Conference on ER - | |||
DOI Bookmark: http://doi.ieeecomputersociety.org/10.1109/GCC.2010.47
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.
Index Terms:
GPU, High Performance Computing, Option Pricing, BSDE, Parallel
Citation:
Bin Dai, Ying Peng, Bin Gong, "Parallel Option Pricing with BSDE Method on GPU," gcc, pp.191-195, 2010 Ninth International Conference on Grid and Cloud Computing, 2010
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