Cost vs. performance of VaR on accelerator platforms
Proceedings of the 2nd Workshop on High Performance Computational Finance
A Map-Reduce Based Framework for Heterogeneous Processing Element Cluster Environments
CCGRID '12 Proceedings of the 2012 12th IEEE/ACM International Symposium on Cluster, Cloud and Grid Computing (ccgrid 2012)
Accelerating financial applications on the GPU
Proceedings of the 6th Workshop on General Purpose Processor Using Graphics Processing Units
Heterogeneous COS pricing of rainbow options
WHPCF '13 Proceedings of the 6th Workshop on High Performance Computational Finance
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In this paper, acceleration on the GPU for option pricing by the COS method is demonstrated. In particular, both European and Bermudan options will be discussed in detail. For Bermudan options, we consider both the Black-Scholes model and Lévy processes of infinite activity. Moreover, the influence of the number of terms in the Fourier-cosine expansion, N, as well as the number of exercise dates, M, on the acceleration factor of the GPU is explored. We also give a comparison between different ways of GPU and CPU implementation. For instance, we have optimized the GPU implementation for maximum performance which is compared to a hybrid CPU/GPU version which outperforms the pure GPU or CPU versions for European options. Furthermore, for each process and each option type that is covered by this paper, we give a discussion on the precision of the GPU.