Option pricing with the SABR model on the GPU

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Abstract

In this paper, we will present our research on the acceleration for option pricing using Monte Carlo techniques on the GPU. We first introduce some basic ideas of GPU programming and then the stochastic volatility SABR model. Under the SABR model, we discuss option pricing with Monte Carlo techniques. In particular, we focus on European option pricing using quasi-Monte Carlo with the Brownian bridge method and American option pricing using the least squares Monte Carlo method. Next, we will study a GPU-based program for pricing European options and a hybrid CPU-GPU program for pricing American options. Finally, we implement our GPU programs, and compare their performance with their CPU counterparts. From our numerical results, around 100?? speedup in European option pricing and 10?? speedup in American option pricing can be achieved by GPU computing while maintaining satisfactory pricing accuracy.
Original languageEnglish
Title of host publicationProceedings of the 3rd Workshop on High Performance Computational Finance
EditorsMatthew Dixon, David Daly, Maria Eleftheriou, Jose Moreira, Kyyng Ryu
Place of PublicationPiscataway USA
PublisherIEEE, Institute of Electrical and Electronics Engineers
Pages1 - 8
Number of pages8
ISBN (Print)9781424490622
DOIs
Publication statusPublished - 2010
EventIEEE Workshop on High Performance Computational Finance (WHPCF) - New Orleans LA USA, Piscataway USA
Duration: 1 Jan 2010 → …

Conference

ConferenceIEEE Workshop on High Performance Computational Finance (WHPCF)
CityPiscataway USA
Period1/01/10 → …

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