Using High Performance Computing and Monte Carlo Simulation for Pricing American Options

Cvetanoska, Verche and Stojanovski, Toni (2012) Using High Performance Computing and Monte Carlo Simulation for Pricing American Options. In: Proceedings of the Nineth Conference on Informatics and Information Technology. Faculty of Computer Science and Engineering, Ss. Cyril and Methodius University in Skopje, Macedonia, Skopje, Macedonia, pp. 170-174. ISBN 978-608-4699-01-9

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Abstract

High performance computing (HPC) is a very attractive and relatively new area of research, which gives promising results in many applications. In this paper HPC is used for pricing of American options. Although the American options are very significant in computational finance; their valuation is very challenging, especially when the Monte Carlo simulation techniques are used. For getting the most accurate price for these types of options we use Quasi Monte Carlo simulation, which gives the best convergence. Furthermore, this algorithm is implemented on both GPU and CPU. Additionally, the CUDA architecture is used for harnessing the power and the capability of the GPU for executing the algorithm in parallel which is later compared with the serial implementation on the CPU. In conclusion this paper gives the reasons and the advantages of applying HPC in computational finance.

Item Type: Book Section
Uncontrolled Keywords: High performance computing, Nvidia, CUDA, GPGPU, finance, Monte Carlo, American options.
Subjects: International Conference on Informatics and Information Technologies > Distributed Systems
International Conference on Informatics and Information Technologies > GRID Computing
International Conference on Informatics and Information Technologies > Cloud Computing
Depositing User: Vangel Ajanovski
Date Deposited: 28 Oct 2016 00:15
Last Modified: 28 Oct 2016 00:15
URI: http://eprints.finki.ukim.mk/id/eprint/11317

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