Pricing American options with least squares Monte Carlo on GPUs

Authors:
Massimiliano Fatica;Everett Phillips
Affiliations:
NVIDIA Corporation, Santa Clara, CA;NVIDIA Corporation, Santa Clara, CA
Venue:
WHPCF '13 Proceedings of the 6th Workshop on High Performance Computational Finance
Year:
2013

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Abstract

This paper presents an implementation of the Least Squares Monte Carlo (LSMC) method by Longstaff and Schwartz [1] to price American options on GPU using CUDA. We focused our attention to the calibration phase and performed several experiments to assess the quality of the results. The implementation can price a put option with 200,000 paths and 50 time steps in less than 10 ms on a Tesla K20X.