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Monte Carlo option pricing with graphics processing units
KTH, School of Computer Science and Communication (CSC), Centres, Centre for High Performance Computing, PDC.ORCID iD: 0000-0002-9901-9857
2011 (English)In: Applications, Tools and Techniques on the Road to Exascale Computing, IOS Press, 2011, Vol. 22, 143-150 p.Conference paper (Refereed)
Abstract [en]

Monte Carlo methods are common practice in financial engineering for a wide variety of problems, one being option pricing. Large clusters of computers are used to run these calculations. Growing volumes and complexity of work that needs to be performed as well as strict requirements for fast responses makes for a pressing demand for high performance computing. We present a prototype implementation of an option pricer running on graphics cards. The prototype supports various exotic option types, quasi Monte Carlo and support for custom models for the evolution of stock prices. We conclude that graphics cards can outperform CPUs given certain conditions and for reasonable problem sizes we find a 12x improvement over sequential code when pricing options in a production system.

Place, publisher, year, edition, pages
IOS Press, 2011. Vol. 22, 143-150 p.
, Advances in Parallel Computing, ISSN 0927-5452 ; 22
Keyword [en]
GPU, GPU in Production Systems, Monte Carlo, Option Pricing
National Category
Computer and Information Science
URN: urn:nbn:se:kth:diva-62740DOI: 10.3233/978-1-61499-041-3-143ISI: 000350346500016ScopusID: 2-s2.0-84906572774ISBN: 978-1-61499-040-6ISBN: 978-1-61499-041-3OAI: diva2:481044
International conference on parallel computing, ParCo 2011. Ghent, Belgium. 30 August - 2 September 2011

QC 20120410

Available from: 2012-01-20 Created: 2012-01-20 Last updated: 2015-04-24Bibliographically approved

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Laure, Erwin
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ReferencesLink to record
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