Parallel option pricing with Fourier space time-stepping method on graphics processing units

DOI10.1016/J.PARCO.2010.02.006zbMath1194.91194OpenAlexW2104238795MaRDI QIDQ991129

Vladimir Surkov

Publication date: 2 September 2010

Published in: Parallel Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.parco.2010.02.006

zbMATH Keywords

option pricingfast Fourier transformparallel computinggraphics processing unitexponential Lévy processFourier space time-stepping method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Parallel algorithms in computer science (68W10) Derivative securities (option pricing, hedging, etc.) (91G20) Theory of languages and software systems (knowledge-based systems, expert systems, etc.) for artificial intelligence (68T35)

Related Items (3)

Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions ⋮ Accelerating the Fourier split operator method via graphics processing units ⋮ A parallel wavelet-based pricing procedure for Asian options

Uses Software

• CUDA
• FFTW

Cites Work

• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Valuation of structured risk management products
• Implicit-explicit numerical schemes for jump-diffusion processes
• Pricing perpetual American catastrophe put options: A penalty function approach
• Performance evaluation of a multithreaded fast Fourier transform algorithm for derivative pricing
• Numerical valuation of options with jumps in the underlying
• A penalty method for American options with jump diffusion processes
• Parallel computing of a quasi-Monte Carlo algorithm for valuing derivatives
• Catastrophe options with stochastic interest rates and compound Poisson losses
• Fourier space time-stepping for option pricing with Lévy models
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

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