Algorithmic complexity in the heston model: an implementation view

Authors:
Henning Marxen;Anton Kostiuk;Ralf Korn;Christian de Schryver;Stephan Wurm;Ivan Shcherbakov;Norbert Wehn
Affiliations:
University of Kaiserslautern, Kaiserslautern, Germany;University of Kaiserslautern, Kaiserslautern, Germany;University of Kaiserslautern, Kaiserslautern, Germany;University of Kaiserslautern, Kaiserslautern, Germany;University of Kaiserslautern, Kaiserslautern, Germany;University of Kaiserslautern, Kaiserslautern, Germany;University of Kaiserslautern, Kaiserslautern, Germany
Venue:
Proceedings of the fourth workshop on High performance computational finance
Year:
2011

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Abstract

In this paper, we present an in-depth investigation of the algorithmic parameter influence for barrier option pricing with the Heston model. For that purpose we focus on single- and multi-level Monte Carlo simulation methods. We investigate the impact of algorithmic variations on simulation time and energy consumption, giving detailed measurement results for a state-of-the-art 8-core CPU server and a Nvidia Tesla C2050 GPU. We particularly show that a naive algorithm on a powerful GPU can even increase the energy consumption and computation time, compared to a better algorithm running on a standard CPU. Furthermore we give preliminary results of a dedicated FPGA implementation and comment on the speedup and energy saving potential of this architecture.