Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU

DOI10.1016/j.amc.2021.126411OpenAlexW3176811712MaRDI QIDQ2244180

Abhijit Ghosh, Chittaranjan Mishra

Publication date: 11 November 2021

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2021.126411

zbMATH Keywords

alternating direction implicit schemesBates modelGPU computingmethod-of-linesparallel cyclic reduction

Mathematics Subject Classification ID

Numerical methods for ordinary differential equations (65Lxx) Actuarial science and mathematical finance (91Gxx) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65Mxx) Basic linear algebra (15Axx) Parabolic equations and parabolic systems (35Kxx)

Related Items (1)

High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU

Uses Software

• Matlab
• CUDA

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An iterative method for pricing American options under jump-diffusion models
• Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term
• Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms
• Convergence of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term
• Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
• Finite element solution of diffusion problems with irregular data
• A new stability result for the modified Craig-Sneyd scheme applied to two-dimensional convection-diffusion equations with mixed derivatives
• ADI schemes for valuing European options under the Bates model
• A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs
• Pricing options under stochastic volatility jump model: a stable adaptive scheme
• High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance
• Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms
• Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs
• Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
• A Compendium of Partial Differential Equation Models
• The Solution of Tridiagonal Linear Systems on the CDC STAR 100 Computer
• A Parallel Cyclic Reduction Algorithm for Pentadiagonal Systems with Application to a Convection-Dominated Heston PDE
• A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• A Fast Direct Solution of Poisson's Equation Using Fourier Analysis
• On Direct Methods for Solving Poisson’s Equations
• ADI finite difference schemes for option pricing in the Heston model with correlation

This page was built for publication: Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU