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

DOI10.1016/J.PARCO.2010.02.006MaRDI QIDQ991129zbMATH OpenOpenAlexFDO

Authors 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 pricingparallel computingfast Fourier transformgraphics processing unitFourier space time-stepping methodexponential Lévy process

Mathematics Subject Classification ID

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

Recommendations

• Modern Monte Carlo methods and GPU computing
• Parallel algorithms for financial derivatives evaluation in generalized Heston model
• A parallel implementation on GPUs of ADI finite difference methods for parabolic PDEs with applications in finance
• GPU acceleration of the stochastic grid bundling method for early-exercise options
• Implementation of the least squares Monte Carlo American option pricing on GPU

Cites work

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

Cited in

(8)

• Parallel algorithms for financial derivatives evaluation in generalized Heston model
• Computational Science and Its Applications – ICCSA 2004
• A parallel wavelet-based pricing procedure for Asian options
• Implementation of the least squares Monte Carlo American option pricing on GPU
• Accelerating the Fourier split operator method via graphics processing units
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• GPU acceleration of the stochastic grid bundling method for early-exercise options
• Parallel solution of American option derivatives on GPU clusters

Describes a project that uses

Uses Software

• CUDA
• FFTW

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