Basket Option Pricing Using GP-GPU Hardware Acceleration

Craig C. Douglas; Hyoseop Lee

doi:10.1109/DCABES.2010.16

Basket Option Pricing Using GP-GPU Hardware Acceleration

Craig C. Douglas, Hyoseop Lee

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

2 Scopus citations

Abstract

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. © 2010 IEEE.

Original language	English (US)
Title of host publication	2010 Ninth International Symposium on Distributed Computing and Applications to Business, Engineering and Science
Publisher	Institute of Electrical and Electronics Engineers (IEEE)
Pages	46-49
Number of pages	4
ISBN (Print)	9781424475391
DOIs	https://doi.org/10.1109/DCABES.2010.16
State	Published - Aug 2010
Externally published	Yes

Bibliographical note

KAUST Repository Item: Exported on 2020-10-01
Acknowledged KAUST grant number(s): KUS-C1-016-04
Acknowledgements: This research was supported in part by NSF grants CNS-1018072 and CNS-1018079 and Award No. KUS-C1-016-04,made by King Abdullah University of Science andTechnology (KAUST).
This publication acknowledges KAUST support, but has no KAUST affiliated authors.

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10.1109/DCABES.2010.16

Cite this

@inproceedings{ff7637f4c78f4124a43b297145d629f4,

title = "Basket Option Pricing Using GP-GPU Hardware Acceleration",

abstract = "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. {\textcopyright} 2010 IEEE.",

author = "Douglas, {Craig C.} and Hyoseop Lee",

note = "KAUST Repository Item: Exported on 2020-10-01 Acknowledged KAUST grant number(s): KUS-C1-016-04 Acknowledgements: This research was supported in part by NSF grants CNS-1018072 and CNS-1018079 and Award No. KUS-C1-016-04,made by King Abdullah University of Science andTechnology (KAUST). This publication acknowledges KAUST support, but has no KAUST affiliated authors.",

year = "2010",

month = aug,

doi = "10.1109/DCABES.2010.16",

language = "English (US)",

isbn = "9781424475391",

pages = "46--49",

booktitle = "2010 Ninth International Symposium on Distributed Computing and Applications to Business, Engineering and Science",

publisher = "Institute of Electrical and Electronics Engineers (IEEE)",

}

Basket Option Pricing Using GP-GPU Hardware Acceleration. / Douglas, Craig C.; Lee, Hyoseop.
2010 Ninth International Symposium on Distributed Computing and Applications to Business, Engineering and Science. Institute of Electrical and Electronics Engineers (IEEE), 2010. p. 46-49.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

TY - GEN

T1 - Basket Option Pricing Using GP-GPU Hardware Acceleration

AU - Douglas, Craig C.

AU - Lee, Hyoseop

N1 - KAUST Repository Item: Exported on 2020-10-01 Acknowledged KAUST grant number(s): KUS-C1-016-04 Acknowledgements: This research was supported in part by NSF grants CNS-1018072 and CNS-1018079 and Award No. KUS-C1-016-04,made by King Abdullah University of Science andTechnology (KAUST). This publication acknowledges KAUST support, but has no KAUST affiliated authors.

PY - 2010/8

Y1 - 2010/8

N2 - 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. © 2010 IEEE.

AB - 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. © 2010 IEEE.

UR - http://hdl.handle.net/10754/597645

UR - http://ieeexplore.ieee.org/document/5573315/

UR - http://www.scopus.com/inward/record.url?scp=78049344951&partnerID=8YFLogxK

U2 - 10.1109/DCABES.2010.16

DO - 10.1109/DCABES.2010.16

M3 - Conference contribution

SN - 9781424475391

SP - 46

EP - 49

BT - 2010 Ninth International Symposium on Distributed Computing and Applications to Business, Engineering and Science

PB - Institute of Electrical and Electronics Engineers (IEEE)

ER -

Basket Option Pricing Using GP-GPU Hardware Acceleration

Abstract

Bibliographical note

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