Heterogeneous COS pricing of rainbow options

Authors:
Aurelien Cassagnes;Yu Chen;Hirotada Ohashi
Affiliations:
The University of Tokyo, Japan;The University of Tokyo, Japan;The University of Tokyo, Japan
Venue:
WHPCF '13 Proceedings of the 6th Workshop on High Performance Computational Finance
Year:
2013

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Abstract

This paper focuses on comparing different heterogeneous computational designs for the calculation of Rainbow options prices using the Fourier-cosine series expansion (COS) method. We also propose a simple enough way to automatically decide ratio of load balancing at runtime. A GPGPU implementation of the two-dimensional composite Simpson rule free of conditional statements with some degree of loop unrolling is also introduced. We will also show how to reduce the integration domain of coefficients appearing in the option pricing and by doing so, achieve a substantial speed-up and improve accuracy when compared versus a straightforward implementation.