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.
|Original language||English (US)|
|Title of host publication||2010 Ninth International Symposium on Distributed Computing and Applications to Business, Engineering and Science|
|Publisher||Institute of Electrical and Electronics Engineers (IEEE)|
|Number of pages||4|
|State||Published - Aug 2010|