Monte Carlo Option Pricing With Graphics Processing Units

@inproceedings{Nord2011MonteCO,
  title={Monte Carlo Option Pricing With Graphics Processing Units},
  author={Fredrik Nord and Erwin Laure},
  booktitle={PARCO},
  year={2011}
}
Monte Carlo methods are common practice in financial engineering for a wide variety of problems, one being option pricing. Large clusters of computers are used to run these calculations. Growing volumes and complexity of work that needs to be performed as well as strict requirements for fast responses makes for a pressing demand for high performance computing. We present a prototype implementation of an option pricer running on graphics cards. The prototype supports various exotic option types… CONTINUE READING
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