Pricing American options with least squares Monte Carlo on GPUs

Abstract

This paper presents an implementation of the Least Squares Monte Carlo (LSMC) method by Longstaff and Schwartz [1] to price American options on GPU using CUDA. We focused our attention to the calibration phase and performed several experiments to assess the quality of the results. The implementation can price a put option with 200,000 paths and 50 time steps in less than 10 ms on a Tesla K20X.