By Topic

Parallel option pricing with Fourier Space Time-stepping method on Graphics Processing Units

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

Formats Non-Member Member
$33 $13
Learn how you can qualify for the best price for this item!
Become an IEEE Member or Subscribe to
IEEE Xplore for exclusive pricing!
close button

puzzle piece

IEEE membership options for an individual and IEEE Xplore subscriptions for an organization offer the most affordable access to essential journal articles, conference papers, standards, eBooks, and eLearning courses.

Learn more about:

IEEE membership

IEEE Xplore subscriptions

1 Author(s)
Vladimir Surkov ; Department of Computer Science, University of Toronto, Canada

With the evolution of graphics processing units (GPUs) into powerful and cost-efficient computing architectures, their range of application has expanded tremendously, especially in the area of computational finance. Current research in the area, however, is limited in terms of options priced and complexity of stock price models. This paper presents algorithms, based on the Fourier space time-stepping (FST) method, for pricing single and multi-asset European and American options with Levy underliers on a GPU. Furthermore, the single-asset pricing algorithm is parallelized to attain greater efficiency.

Published in:

Parallel and Distributed Processing, 2008. IPDPS 2008. IEEE International Symposium on

Date of Conference:

14-18 April 2008