High dimensional pricing of exotic European contracts on a GPU Cluster, and comparison to a CPU cluster

Author

Abbas-Turki, L.A. ; Vialle, Stephane ; Lapeyre, Bernard ; Mercier, Patrick

Author_Institution

Appl. Probability Res. Group, ENPC-CERMICS, Champs-sur-Marne, France

fYear

2009

fDate

23-29 May 2009

Firstpage

1

Lastpage

8

Abstract

The aim of this paper is the efficient use of CPU and GPU clusters for a general path-dependent exotic European pricing, and their comparison in terms of speed and energy consumption. To reach our goal, we propose a parallel random number generator which is well suited to the parallelization paradigm, then, we implement a multidimensional Asian contract as a benchmark using g++/OpenMP/OpenMPI on CPUs and CUDA-nvcc/OpenMPI on GPUs. Finally, we give the detailed results of the two architectures for different size problems using 1-16 GPUs and 1-256 dual-core CPUs.

Keywords

contracts; financial management; pricing; random number generation; CPU cluster; GPU cluster; exotic European contracts; high dimensional pricing; multidimensional Asian contract; parallel random number generator; path-dependent exotic European pricing; Contracts; Convergence; Energy consumption; Finance; Finite element methods; Monte Carlo methods; Multidimensional systems; Portfolios; Pricing; Random number generation;

fLanguage

English

Publisher

ieee

Conference_Titel

Parallel & Distributed Processing, 2009. IPDPS 2009. IEEE International Symposium on

Conference_Location

Rome

ISSN

1530-2075

Print_ISBN

978-1-4244-3751-1

Electronic_ISBN

1530-2075

Type

conf

DOI

10.1109/IPDPS.2009.5161143

Filename

5161143