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Basket Option Pricing Using GP-GPU Hardware Acceleration

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2 Author(s)
Douglas, C.C. ; Math. Dept., Univ. of Wyoming, Laramie, WY, USA ; Hyoseop Lee

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.

Published in:

Distributed Computing and Applications to Business Engineering and Science (DCABES), 2010 Ninth International Symposium on

Date of Conference:

10-12 Aug. 2010

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