Option Pricing on the GPU with Backward Stochastic Differential Equation

In this paper, we develop acceleration strategies for option pricing with non-linear Backward Stochastic Differential Equation (BSDE), which appears as a robust and valuable tool in financial markets. An efficient binomial lattice based method is adopted to solve the BSDE numerically. In order to re...

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Bibliographic Details
Published in2011 Fourth International Symposium on Parallel Architectures, Algorithms and Programming pp. 19 - 23
Main Authors Ying Peng, Bin Gong, Hui Liu, Bin Dai
Format Conference Proceeding
LanguageEnglish
Published IEEE 01.12.2011
Subjects
Acceleration
BSDE
Computational modeling
GPU
Graphics processing unit
Instruction sets
Kernel
Lattices
Option Pricing
Pricing
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ISBN1457718081
9781457718083
ISSN2168-3034
DOI10.1109/PAAP.2011.12

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Summary:In this paper, we develop acceleration strategies for option pricing with non-linear Backward Stochastic Differential Equation (BSDE), which appears as a robust and valuable tool in financial markets. An efficient binomial lattice based method is adopted to solve the BSDE numerically. In order to reduce the global memory access frequency, the kernel invocation is avoided to be performed on each time step. Furthermore, for evaluating the affect of load balance to the performance, we provide two different acceleration strategies and compare them with running time experiments. The acceleration algorithms exhibit tremendous speedup over the sequential CPU implementation and therefore suitable for real-time application.
ISBN:1457718081
9781457718083
ISSN:2168-3034
DOI:10.1109/PAAP.2011.12