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Parallel Architectures, Algorithms and Programming, International Symposium on (2011)
Tianjin, China
Dec. 9, 2011 to Dec. 11, 2011
ISBN: 978-0-7695-4575-2
pp: 19-23
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.
INDEX TERMS
GPU, BSDE, Option Pricing, Acceleration
CITATION
Hui Liu, Bin Gong, Bin Dai, Ying Peng, "Option Pricing on the GPU with Backward Stochastic Differential Equation", Parallel Architectures, Algorithms and Programming, International Symposium on, vol. 00, no. , pp. 19-23, 2011, doi:10.1109/PAAP.2011.12
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