Michael Benguigui

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— 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(More)
This article presents a multi GPU adaptation of a specific Monte Carlo and classification based method for pricing American basket options, due to Picazo [1]. The first part relates how to combine fine and coarse grained parallelization to price American basket options. In order to benefit from different GPU devices, a dynamic strategy of kernel calibration(More)
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