Parallel solution of American option derivatives on GPU clusters

DOI10.1016/j.camwa.2013.03.010zbMath1395.91500OpenAlexW1977906934MaRDI QIDQ2629425

Jacques M. Bahi, Pierre Spiteri, Raphaël Couturier, Lilia Ziane Khodja, Ming Chau

Publication date: 6 July 2016

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2013.03.010

zbMATH Keywords

financeCUDAGPU clusterssubdomain methodparallel asynchronous algorithmslarge scale obstacle problems

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05) Numerical algorithms for specific classes of architectures (65Y10)

Related Items

Numerical simulation of steel solidification in continuous casting ⋮ High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU ⋮ The Parareal Algorithm for American Options ⋮ The parareal algorithm for American options ⋮ Grid solution of problem with unilateral constraints ⋮ A study of scheduling problems with preemptions on multi-core computers with GPU accelerators ⋮ Parallel solution of the modified porous medium equation

Uses Software

• CUDA

Cites Work

• Variational inequalities and the pricing of American options
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• Chaotic relaxation
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• Un critère de convergence pour des méthodes générales de point fixe
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• A new class of asynchronous iterative algorithms with order intervals
• Convergence Rate Analysis of a Multiplicative Schwarz Method for Variational Inequalities
• An additive Schwarz method for variational inequalities
• Convergence rate analysis of an asynchronous space decomposition method for convex Minimization
• Parallel Iterative Algorithms
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