Basket Option Pricing Using GP-GPU Hardware Acceleration

Author

Douglas, Craig C. ; Lee, Hyoseop

Author_Institution

Math. Dept., Univ. of Wyoming, Laramie, WY, USA

fYear

2010

fDate

10-12 Aug. 2010

Firstpage

46

Lastpage

49

Abstract

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.

Keywords

computer graphics; coprocessors; financial data processing; matrix algebra; pricing; GP-GPU hardware acceleration; alternating direction implicit method; basket option pricing; financial mathematics; general purpose graphics processing units; parallel cyclic reduction; tridiagonal matrices; Algorithm design and analysis; Boundary conditions; Equations; Graphics processing unit; Mathematical model; Pricing; ADI method; CUDA; GP-GPU; GPU; basket option; option;

fLanguage

English

Publisher

ieee

Conference_Titel

Distributed Computing and Applications to Business Engineering and Science (DCABES), 2010 Ninth International Symposium on

Conference_Location

Hong Kong

Print_ISBN

978-1-4244-7539-1

Type

conf

DOI

10.1109/DCABES.2010.16

Filename

5573315