Parallel option pricing with Fourier Space Time-stepping method on Graphics Processing Units

With the evolution of Graphics Processing Units (GPUs) into powerful and cost-efficient computing architectures, their range of application has expanded tremendously, especially in the area of computational finance. Current research in the area, however, is limited in terms of options priced and complexity of stock price models. This paper presents algorithms, based on the Fourier Space Timestepping (FST) method, for pricing single and multi-asset European and American options with L´evy underliers on a GPU. Furthermore, the single-asset pricing algorithm is parallelized to attain greater efficiency. KEY WORDS Option pricing, L´evy processes, Fourier Space Timestepping, Fast Fourier Transform, Graphics Processing Unit, parallel computing

• Type: Conference
• Year: 2008
• Where: IPPS
• Authors: Vladimir Surkov
• Keywords: Cost-efficient Computing Architectures, Distributed And Parallel Computing, Fourier Space Timestepping, Graphics Processing Unit, IPPS 2008