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    Basket Option Pricing Using GP-GPU Hardware Acceleration

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    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
    
    Metadata
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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
    ae974a485f413a2113503eed53cd6c53
    10.1109/DCABES.2010.16
    Scopus Count
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