Pricing barrier and American options under the SABR model on the graphics processing unit

Abstract

In this paper, we presented our study on using the graphics processing unit (GPU) to accelerate the computation in pricing financial options. We first introduced the GPU programming and the SABR stochastic volatility model. We then discussed pricing options with quasi Monte Carlo techniques under the SABR model. In particular, we focused on pricing barrier… (More)
DOI: 10.1002/cpe.1771

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