Pricing European options using Monte Carlo methods

graphics processor unit (GPU);Reduction

Xu, Zhentao

关键词: graphics processor unit (GPU);    Reduction;   

Others  :  https://www.ideals.illinois.edu/bitstream/handle/2142/78794/XU-THESIS-2015.pdf?sequence=1&isAllowed=y

美国|英语

来源: The Illinois Digital Environment for Access to Learning and Scholarship

【 摘 要 】

European-style options are quite popular nowadays. Calculating their theo- retical price is not an easy task because there are many sources of uncertainty. However, we can model these uncertainties with random numbers. In this pa- per I discuss my implemention of two options-pricing programs using Monte Carlo methods, one for a CPU and the other for a GPU. I also optimize them to reduce their running time. Finally I compare the performance of those two programs.