Option pricing with COS method on graphics processing units

IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium

Volumn , Issue , 2009, Pages

  Zhang, Bowen ^a   Oosterlee, Cornelis W ^b  

^a DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

^b CWI   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

ACCELERATION FACTORS; BERMUDAN OPTIONS; BLACK-SCHOLES MODEL; EUROPEAN OPTION; FOURIER; GPU IMPLEMENTATION; GRAPHICS PROCESSING UNIT; OPTION PRICING;

DISTRIBUTED PARAMETER NETWORKS; ECONOMICS; PROGRAM PROCESSORS;

COMPUTER GRAPHICS EQUIPMENT;

EID: 70449884582     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/IPDPS.2009.5161148     Document Type: Conference Paper

References (7)

1. F. FANG AND C.W.OOSTERLEE, A novel option pricing method based on Fourier-cosine series expansions. SIAM J. Sci. Comput., 31: 826-848, 2008.
2. F. FANG AND C.W.OOSTERLEE. Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions, 2008. Submitted for publication.
3. R. LORD, F.FANG, F. BERVOETS AND C.W.OOSTERLEE. A fast and accurate FFTbased method for pricing early-exercise options under Lévy processes. SIAM J. Sci. Comput., 30: 1678-1705, 2008.
4. P.P. CARR AND D.B.MADAN. Option valuation using Fast Fourier Transformation. J. Comp.Finance, 2: 61-73,1999.
5. NVIDIA Cuda Compute Unified Device Architecture, Programming Guide, Version 1.0,2007.
6. Cuda CUFFT Library.
7. V.SURKOV. Parallel Option Pricing with Fourier Space Time-stepping Method on Graphics Processing Units, 2008.