Name
Abstract | ||
|---|---|---|
Option pricing is an important problem in computational finance due to the fast-growing market and increasing complexity of options. For option pricing, a model is required to describe the price process of the underlying asset. The GARCH model is one of the prominent option pricing models since it can model stochastic volatility of the underlying asset. To derive expected profit based on the GARCH model, tree-based simulations are one of the commonly used approaches. Tree-based GARCH option pricing is computing intensive since the tree grows exponentially, and it requires enormous floating point arithmetic operations. In this paper, we present the first work on accelerating the tree-based GARCH option pricing on GPUs with CUDA. As the conventional tree data structure is not memory access friendly to GPUs, we propose a new family of tree data structures which position concurrently accessed nodes in contiguous and aligned memory locations. Moreover, to reduce memory bandwidth requirement, we apply fusion optimization, which combines two threads into one to keep data with temporal locality in register files. Our results show 50× speedup compared to a multi-threaded program on a 4-core CPU. |
Year | DOI | Venue |
|---|---|---|
2010 | 10.1109/IISWC.2010.5648864 | IISWC |
Keywords | Field | DocType |
prominent option pricing model,optimisation,tree-based garch option pricing,memory bandwidth requirement,mean tracking,computer graphic equipment,garch,gpu,tree data structures,underlying asset,parallel architectures,tree,memory access,option pricing,conventional tree data structure,cuda,tree data structure,autoregressive processes,tree based simulations,stochastic volatility,garch model,multi-threaded program,coprocessors,4-core cpu,memory location,pricing,fusion optimization,floating point arithmetic,memory bandwidth,profitability,data structure,optimization,computational modeling,computational finance,register file,instruction sets | Stochastic volatility,Valuation of options,Locality of reference,Memory bandwidth,Computational finance,Computer science,Tree (data structure),Parallel computing,Real-time computing,Trinomial tree,Speedup | Conference |
ISBN | Citations | PageRank |
978-1-4244-9296-1 | 0 | 0.34 |
References | Authors | |
7 | 3 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Ren-Shuo Liu | 1 | 141 | 9.86 |
| Yun-Cheng Tsai | 2 | 2 | 2.22 |
| Chia-Lin Yang | 3 | 1033 | 76.39 |