GPU acceleration of the stochastic grid bundling method for early-exercise options
DOI10.1080/00207160.2015.1067689zbMATH Open1335.91105OpenAlexW1857288043MaRDI QIDQ2804499FDOQ2804499
Authors: Álvaro Leitao, Cornelis W. Oosterlee 
Publication date: 29 April 2016
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://ir.cwi.nl/pub/23949
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Monte Carlo simulationGPGPUhigh performance computingparallel programmingcomputational financeleast-squares regressioncompute unified device architecture (CUDA)basket Bermudan optionsearly-exercise derivativeshigh-dimensional pricingstochastic grid bundling method (SGBM)
Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- Title not available (Why is that?)
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Selected Topics in Characteristic Functions
- Valuing American options by simulation: a simple least-squares approach
- Monte Carlo valuation of American options
- Numerical Computations with GPUs
- Pricing American Options: A Duality Approach
- Probability, random processes, and statistical analysis.
Cited In (11)
- GPU Acceleration for Computational Finance
- Implementation of the least squares Monte Carlo American option pricing on GPU
- Calculation of exposure profiles and sensitivities of options under the Heston and the Heston Hull-White models
- Parallel option pricing with Fourier space time-stepping method on graphics processing units
- Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
- Stochastic grid bundling method for backward stochastic differential equations
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
- Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs
- Modern Monte Carlo methods and GPU computing
- Explainable neural network for pricing and universal static hedging of contingent claims
- An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA
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