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.