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Conference Papers Year : 2012

Towards Parallel and Distributed Computing on GPU for American Basket Option Pricing

Abstract

This article presents a GPU adaptation of a specific Monte Carlo and classification based method for pricing American basket options, due to Picazo. Some optimizations are exposed to get good performance of our parallel algorithm on GPU. In order to benefit from different GPU devices, a dynamic strategy of kernel calibration is proposed. Future work is geared towards the use of distributed computing infrastructures such as Grids and Clouds, equipped with GPUs, in order to benefit for even more parallelism in solving such computing intensive problem in mathematical finance.
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Dates and versions

hal-00905450 , version 1 (18-11-2013)

Identifiers

  • HAL Id : hal-00905450 , version 1

Cite

Michael Benguigui, Françoise Baude. Towards Parallel and Distributed Computing on GPU for American Basket Option Pricing. CloudCom 2012 - 4th IEEE International Conference on Cloud Computing Technology and Science, Dec 2012, Taipei, Taiwan. ⟨hal-00905450⟩
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