Option pricing on the GPU

Proceedings - 2010 12th IEEE International Conference on High Performance Computing and Communications, HPCC 2010

Volumn , Issue , 2010, Pages 289-296

  Solomon, Steven ^a   Thulasiram, Ruppa K ^a   Thulasiraman, Parimala ^a  

^a UNIVERSITY OF MANITOBA   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 78149343218     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/HPCC.2010.54     Document Type: Conference Paper

References (8)

1. S. Babbs. Binomial valuation of lookback options. Journal of Economics, Dynamics and Control, 24:1499-1525, 2000.
2. T. Cheuk and T. Vorst. Currency lookback options & observation frequency: A binomial approach. Journal of International Money and Finance, 16:173-187, 1997.
3. John C. Cox, Stephen A. Ross, and Mark Rubinstein. Options pricing: A simplified approach. Journal of Financial Economics, 7:229-263, 1979.
4. Peter Hoadley. Trinomial tree option calculator. http://www.hoadley.net/ options/binomialtree.aspx?tree=T, Accessed on: April 5th 2010.
5. John Hull. Options, Futures, and other Derivative Securities. Prentice Hall, May 2008.
6. Grégoire Jauvion and Tuan Nguyen. Parallelized trinomial option pricing model on GPU with cuda. http://www.arbitragis-research.com/cuda-in- computational-finance/coxross-gpu.pdf/at download/file-unpublished, August 7th 2008.
7. NVIDIA. Cuda 2.0 Programming Guide, Version 2.3.1. NVIDIA, August 2009.
8. Victor Podlozhnyuk. Binomial option pricing model. http://developer. download.nvidia.com/compute/cuda/sdk/website/projects/binomialOptions/doc/ binomialOptions.pdf, April 2008.