TY - GEN
T1 - Basket Option Pricing Using GP-GPU Hardware Acceleration
AU - Douglas, Craig C.
AU - Lee, Hyoseop
N1 - KAUST Repository Item: Exported on 2020-10-01
Acknowledged KAUST grant number(s): KUS-C1-016-04
Acknowledgements: This research was supported in part by NSF grants CNS-1018072 and CNS-1018079 and Award No. KUS-C1-016-04,made by King Abdullah University of Science andTechnology (KAUST).
This publication acknowledges KAUST support, but has no KAUST affiliated authors.
PY - 2010/8
Y1 - 2010/8
N2 - We introduce a basket option pricing problem arisen in financial mathematics. We discretized the problem based on the alternating direction implicit (ADI) method and parallel cyclic reduction is applied to solve the set of tridiagonal matrices generated by the ADI method. To reduce the computational time of the problem, a general purpose graphics processing units (GP-GPU) environment is considered. Numerical results confirm the convergence and efficiency of the proposed method. © 2010 IEEE.
AB - We introduce a basket option pricing problem arisen in financial mathematics. We discretized the problem based on the alternating direction implicit (ADI) method and parallel cyclic reduction is applied to solve the set of tridiagonal matrices generated by the ADI method. To reduce the computational time of the problem, a general purpose graphics processing units (GP-GPU) environment is considered. Numerical results confirm the convergence and efficiency of the proposed method. © 2010 IEEE.
UR - http://hdl.handle.net/10754/597645
UR - http://ieeexplore.ieee.org/document/5573315/
UR - http://www.scopus.com/inward/record.url?scp=78049344951&partnerID=8YFLogxK
U2 - 10.1109/DCABES.2010.16
DO - 10.1109/DCABES.2010.16
M3 - Conference contribution
SN - 9781424475391
SP - 46
EP - 49
BT - 2010 Ninth International Symposium on Distributed Computing and Applications to Business, Engineering and Science
PB - Institute of Electrical and Electronics Engineers (IEEE)
ER -