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    AuthorDouglas, Craig C. (1)Lee, Hyoseop (1)Journal
    2010 Ninth International Symposium on Distributed Computing and Applications to Business, Engineering and Science (1)
    KAUST Grant NumberKUS-C1-016-04 (1)PublisherInstitute of Electrical and Electronics Engineers (IEEE) (1)SubjectADI method (1)Basket option (1)Component (1)
    CUDA (1)
    GP-GPU (1)View MoreType
    Conference Paper (1)
    Year (Issue Date)2010 (1)Item AvailabilityMetadata Only (1)

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    Basket Option Pricing Using GP-GPU Hardware Acceleration

    Douglas, Craig C.; Lee, Hyoseop (2010 Ninth International Symposium on Distributed Computing and Applications to Business, Engineering and Science, Institute of Electrical and Electronics Engineers (IEEE), 2010-08) [Conference Paper]
    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.
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