KAUST Grant NumberKUS-C1-016-04
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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.
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.
SponsorsThis 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).
Journal2010 Ninth International Symposium on Distributed Computing and Applications to Business, Engineering and Science