GPU acceleration of the stochastic grid bundling method for early-exercise options

DOI10.1080/00207160.2015.1067689MaRDI QIDQ2804499zbMATHOpenAlexFDO

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

zbMATH Keywords

Monte Carlo simulationGPGPUhigh performance computingparallel programmingcomputational financeleast-squares regressioncompute unified device architecture (CUDA)basket Bermudan optionsearly-exercise derivativeshigh-dimensional pricingstochastic grid bundling method (SGBM)

Mathematics Subject Classification ID

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)

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• Implementation of the least squares Monte Carlo American option pricing on GPU
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Cites work

• scientific article; zbMATH DE number 3473265 (Why is no real title available?)
• Monte Carlo valuation of American options
• Numerical Computations with GPUs
• Pricing American Options: A Duality Approach
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Probability, random processes, and statistical analysis.
• Selected Topics in Characteristic Functions
• Valuing American options by simulation: a simple least-squares approach

Cited in

(11)

• Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
• Explainable neural network for pricing and universal static hedging of contingent claims
• Modern Monte Carlo methods and GPU computing
• A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
• GPU Acceleration for Computational Finance
• Implementation of the least squares Monte Carlo American option pricing on GPU
• An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA
• Stochastic grid bundling method for backward stochastic differential equations
• Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs
• Parallel option pricing with Fourier space time-stepping method on graphics processing units
• Calculation of exposure profiles and sensitivities of options under the Heston and the Heston Hull-White models

Describes a project that uses

Uses Software

• CUDA

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