Option Pricing Black-Scholes Equation

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Presentation transcript:

Option Pricing Black-Scholes Equation Geometric Brownian Motion in Finance “Monte Carlo Method” Simulate massive amount of instances and average return Random variable

Option Pricing 537x Performance vs. 1 Thread Cho et. al., “Monte Carlo Method in CUDA», 2016

Stencil Computation Per-thread registers Global Memory Shared Memory Intel Nehalem (4 cores, 2.66 GHz, ~100 GFLOPS) AMD Phenom 2 (4 cores, 3.0 GHz, ~100 GFLOPS) NVIDIA Tesla (~ 1 TFLOPS) Bradvik et. al, “Stencil Operations in Cuda,” ISC 2011

Stencil Computation