Basket Option Pricing Using GP-GPU Hardware Acceleration

Type
Conference Paper
Authors
Douglas, Craig C.
Lee, Hyoseop
KAUST Grant Number
KUS-C1-016-04
Date
2010-08
Permanent link to this record
http://hdl.handle.net/10754/597645

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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.
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).
Publisher
Institute of Electrical and Electronics Engineers (IEEE)
Journal
2010 Ninth International Symposium on Distributed Computing and Applications to Business, Engineering and Science
DOI
10.1109/DCABES.2010.16
Collections
Publications Acknowledging KAUST Support