Speaker
Dmitry Khmel
(Saint Petersburg State University)
Description
In the article the problem of optimization of GPGPU option pricing algorithms. The main goal to achieve maximum efficiency from the use of the hybrid system. The authors offered some transformation algorithm derived from Blake-Scholes model for pricing European and Asian option on the Monte Carlo method based on GPGPU architecture features. The basic idea is the constant optimization of work with one large array of data.
Keywords: European option, Asian option, hybrid system, GPGPU, CUDA, Monte Carlo method, Blake-Scholes model.
Primary authors
Prof.
Alexander Bogdanov
(St.Petersburg State University)
Dmitry Khmel
(Saint Petersburg State University)
Mr
Eduard Stepanov
(Saint Petersburg University)
