基于CUDA的高效亚洲期权定价

2015 International Conference on High Performance Computing & Simulation (HPCS) Pub Date : 2015-07-20 DOI:10.1109/HPCSim.2015.7237103

Artur Yuzhanin, I. Gankevich, E. Stepanov, V. Korkhov

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引用次数: 0

摘要

本文研究了亚洲期权定价的蒙特卡罗方法。其中有路径积分定价法和偏微分方程定价法。采用CUDA技术对CPU上顺序运行的仿真算法和GPU上并行运行的仿真算法进行了分析和比较。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Efficient Asian option pricing with CUDA

In this paper the Monte Carlo methods of the Asian option pricing are considered. Among them are pricing method with path integral and partial differential equation. Simulation algorithms running on the CPU sequentially and algorithms running on the GPU in parallel using the CUDA technology were analyzed and compared.

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来源期刊

2015 International Conference on High Performance Computing & Simulation (HPCS)

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