Towards Parallel and Distributed Computing on GPU for American Basket Option Pricing

Michael Benguigui 1 Françoise Baude 1
1 OASIS - Active objects, semantics, Internet and security
CRISAM - Inria Sophia Antipolis - Méditerranée , COMRED - COMmunications, Réseaux, systèmes Embarqués et Distribués
Abstract : This article presents a GPU adaptation of a specific Monte Carlo and classification based method for pricing American basket options, due to Picazo. Some optimizations are exposed to get good performance of our parallel algorithm on GPU. In order to benefit from different GPU devices, a dynamic strategy of kernel calibration is proposed. Future work is geared towards the use of distributed computing infrastructures such as Grids and Clouds, equipped with GPUs, in order to benefit for even more parallelism in solving such computing intensive problem in mathematical finance.
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Article dans une revue
Cloud Computing Technology and Science (CloudCom), IEEE, 2012


https://hal.inria.fr/hal-00905450
Contributeur : Michael Benguigui <>
Soumis le : lundi 18 novembre 2013 - 12:07:50
Dernière modification le : mercredi 20 novembre 2013 - 09:52:49
Document(s) archivé(s) le : mercredi 19 février 2014 - 07:05:27

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Michael Benguigui, Françoise Baude. Towards Parallel and Distributed Computing on GPU for American Basket Option Pricing. Cloud Computing Technology and Science (CloudCom), IEEE, 2012. <hal-00905450>

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