Handle URI:
http://hdl.handle.net/10754/597645
Title:
Basket Option Pricing Using GP-GPU Hardware Acceleration
Authors:
Douglas, Craig C.; Lee, Hyoseop
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. © 2010 IEEE.
Citation:
Douglas CC, Lee H (2010) Basket Option Pricing Using GP-GPU Hardware Acceleration. 2010 Ninth International Symposium on Distributed Computing and Applications to Business, Engineering and Science. Available: http://dx.doi.org/10.1109/DCABES.2010.16.
Publisher:
Institute of Electrical and Electronics Engineers (IEEE)
Journal:
2010 Ninth International Symposium on Distributed Computing and Applications to Business, Engineering and Science
KAUST Grant Number:
KUS-C1-016-04
Issue Date:
Aug-2010
DOI:
10.1109/DCABES.2010.16
Type:
Conference Paper
Sponsors:
This research was supported in part by NSF grants CNS-1018072 and CNS-1018079 and Award No. KUS-C1-016-04,made by King Abdullah University of Science andTechnology (KAUST).
Appears in Collections:
Publications Acknowledging KAUST Support

Full metadata record

DC FieldValue Language
dc.contributor.authorDouglas, Craig C.en
dc.contributor.authorLee, Hyoseopen
dc.date.accessioned2016-02-25T12:43:38Zen
dc.date.available2016-02-25T12:43:38Zen
dc.date.issued2010-08en
dc.identifier.citationDouglas CC, Lee H (2010) Basket Option Pricing Using GP-GPU Hardware Acceleration. 2010 Ninth International Symposium on Distributed Computing and Applications to Business, Engineering and Science. Available: http://dx.doi.org/10.1109/DCABES.2010.16.en
dc.identifier.doi10.1109/DCABES.2010.16en
dc.identifier.urihttp://hdl.handle.net/10754/597645en
dc.description.abstractWe 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. © 2010 IEEE.en
dc.description.sponsorshipThis research was supported in part by NSF grants CNS-1018072 and CNS-1018079 and Award No. KUS-C1-016-04,made by King Abdullah University of Science andTechnology (KAUST).en
dc.publisherInstitute of Electrical and Electronics Engineers (IEEE)en
dc.subjectADI methoden
dc.subjectBasket optionen
dc.subjectComponenten
dc.subjectCUDAen
dc.subjectGP-GPUen
dc.subjectGPUen
dc.subjectOptionen
dc.titleBasket Option Pricing Using GP-GPU Hardware Accelerationen
dc.typeConference Paperen
dc.identifier.journal2010 Ninth International Symposium on Distributed Computing and Applications to Business, Engineering and Scienceen
dc.contributor.institutionUniversity of Wyoming, Laramie, United Statesen
kaust.grant.numberKUS-C1-016-04en
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