Basket Option Pricing Using GP-GPU Hardware Acceleration

Craig C. Douglas, Hyoseop Lee

Research output: Chapter in Book/Report/Conference proceedingConference contribution

2 Scopus citations

Abstract

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 languageEnglish (US)
Title of host publication2010 Ninth International Symposium on Distributed Computing and Applications to Business, Engineering and Science
PublisherInstitute of Electrical and Electronics Engineers (IEEE)
Pages46-49
Number of pages4
ISBN (Print)9781424475391
DOIs
StatePublished - Aug 2010
Externally publishedYes

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