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GPU Gems 2: Programming Techniques for High-Performance Graphics and General-Purpose Computation by Randima Fernando, Matt Pharr

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Chapter 45. Options Pricing on the GPU

Craig KolbNVIDIA Corporation

Matt PharrNVIDIA Corporation

In the past three decades, options and other derivatives have become increasingly important financial tools. Options are commonly used to hedge the risk associated with investing in securities, and to take advantage of pricing anomalies in the market via arbitrage.

A key requirement for utilizing options is calculating their fair value. Finding ways of efficiently solving this pricing problem has been an active field of research for more than thirty years, and it continues to be a focus of modern financial engineering. As more computation has been applied to finance-related problems, finding efficient ways to implement these algorithms on modern architectures ...

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