Pricing derivatives on graphics processing units using Monte Carlo simulation

Concurrency and Computation: Practice and Experience

Volumn 26, Issue 9, 2014, Pages 1679-1697

  Abbas Turki, L A ^a   Vialle, S ^b,c   Lapeyre, B ^d   Mercier, P ^b  

^a UFR des Sciences et Technologie   (France)

^b UMI Georgia Tech CNRS 2958   (France)

^c INRIA   (France)

^d INRIA   (France)

Author keywords

American options; European options; GPU; Monte Carlo; parallel random number generator; pricing derivatives

Indexed keywords

COMPUTER GRAPHICS; COMPUTER GRAPHICS EQUIPMENT; COSTS; IMAGE CODING; MONTE CARLO METHODS; NUMBER THEORY; PROGRAM PROCESSORS; RANDOM NUMBER GENERATION; REGRESSION ANALYSIS;

AMERICAN OPTIONS; CONTRACT COMPARISONS; EUROPEAN OPTION; FINANCIAL APPLICATIONS; MONTE CARLO APPROACH; OPTIMAL STOPPING PROBLEM; PARALLEL RANDOM NUMBER GENERATOR; RANDOM NUMBER GENERATORS;

GRAPHICS PROCESSING UNIT;

EID: 84899643753     PISSN: 15320626     EISSN: 15320634     Source Type: Journal    
DOI: 10.1002/cpe.2862     Document Type: Article

References (25)

1. Glasserman P,. Monte Carlo Methods in Financial Engineering, Applications of Mathematics. Springer: New York, 2003.
2. Williams D,. Probability with Martingales. Cambridge University Press.: Cambridge, 1991.
3. Clément E, Lamberton D, Protter P,. An analysis of a least squares regression algorithm for american option pricing. Finance and Stochastics 2002; 17: 448-471.
4. Tsitsiklis J, Van Roy B,. Regression methods for pricing complex American-style options. IEEE Transactions on Neural Networks 2001; 12 (4): 694-703. (Pubitemid 32732812)
5. Longstaff FA, Schwartz ES,. Valuing American options by simulation: A simple least-squares approach. The Review of Financial Studies 2001; 14 (1): 113-147. (Pubitemid 33587386)
6. Bally V, Caramellino L, Zanette A,. Pricing American options by Monte Carlo methods using a Malliavin Calculus approach. Monte Carlo Methods and Applications 2005; 11: 97-133.
7. Bally V, Pagès G,. A quantization algorithm for solving multidimensional discrete-time optimal stopping problems. Bernoulli 2003; 9 (6): 1003-1049. (Pubitemid 44242697)
8. Glasserman V, Yu B,. Number of paths versus number of basis functions in American option pricing. The Annals of Applied Probability 2004; 14 (4): 2090-2119. (Pubitemid 41449207)
9. Press WH, Teukolsky SA, Vetterling WT, Flannery BP,. Numerical Recipes in C++: the Art of Scientific Computing, 2nd ed. Cambridge University Press: Cambridge, 2002.
10. Choudhury AR, King A, Kumar S, Sabharwal Y,. Optimizations in financial engineering: the least-squares Monte Carlo method of Longstaff and Schwartz. IEEE International Parallel & Distributed Processing Symposium, April 2008; 1-11.
11. Podlozhnyuk V, Harris M,. Monte Carlo option pricing. Part of CUDA SDK documentation, nVIDIA November 2007.
12. Matsumoto M, Nishimura T,. Mersenne Twister: a 623-dimensionally equidistributed uniform pseudorandom number generator. ACM Transactions on Modeling and Computer Simulation 1998; 8 (1): 3-30.
13. Howes L, Thomas D,. GPU Gems 3, Chapter 37. Efficient Random Number Generation and Application Using CUDA. Addison-Wesley: Boston, 2007.
14. Mascagni M, Srinivasan A,. Algorithm 806: SPRNG: a scalable library for pseudorandom number generation. ACM Transactions on Mathematical Software 2001; 28 (3): 436-461.
15. Matsumoto M, Saito M, Haramoto H, Nishimura T,. Pseudorandom number generation: impossibility and compromise. Journal of Universal Computer Science 2006; 12 (6): 672-690. (Pubitemid 44180830)
16. Niederreiter quasirandom sequence generator and mersenne twister http://www.nvidia.com/content/cudazone/cuda\-sdk/computational\-finance.html [13 december 2009].
17. L'Ecuyer P,. Combined multiple recursive random number generators. Operations Research 1996; 44 (5): 816-822. (Pubitemid 126669557)
18. L'Ecuyer P, Simard R, Chen EJ, Kelton WD,. An object-oriented random-number package with many long streams and substreams. Operations Research 2002; 50 (6): 1073-1075.
19. Knuth DE,. The Art of Computer Programming. Addison-Wesley Publishing: Massachusetts, 1998.
20. Abbas-Turki LA, Vialle S, Lapeyre B, Mercier P,. High dimensional pricing of exotic European contracts on a GPU cluster, and comparison to a CPU cluster. Parallel and Distributed Computing in Finance, in IEEE International Parallel & Distributed Processing Symposium, May 2009; 1-8.
21. Lapeyre B, Temam E,. Competitive Monte Carlo methods for the pricing of Asian options. Journal of Computational Finance 2001; 5 (1): 39-59.
22. Pacheco PS,. Parallel Programming with MPI. Morgan Kaufmann: San Francisco, 1997.
23. Moreni N,. A variance reduction technique for American option pricing. Physica A: Statistical Mechanics and Its Applications 2004; 338: 292-295.
24. The QuantLib Library http://quantlib.org/index.shtml, 2008.
25. Abbas-Turki LA, Lapeyre B,. American options pricing on multicore graphic cards, July 2009; 307-311.