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Option Pricing Black-Scholes Equation

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Presentation on theme: "Option Pricing Black-Scholes Equation"— Presentation transcript:

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

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

3 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

4 Stencil Computation

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