Change search
ReferencesLink to record
Permanent link

Direct link
Pricing of American Options by Adaptive Tree Methods on GPUs
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing.
2015 (English)Independent thesis Advanced level (professional degree), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

An assembled algorithm for pricing American options with absolute, discrete dividends using adaptive lattice methods is described. Considerations for hardware-conscious programming on both CPU and GPU platforms are discussed, to provide a foundation for the investigation of several approaches for deploying the program onto GPU architectures. The performance results of the approaches are compared to that of a central processing unit reference implementation, and to each other. In particular, an approach of designating subtrees to be calculated in parallel by allowing multiple calculation of overlapping elements is described. Among the examined methods, this attains the best performance results in a "realistic" region of calculation parameters. A fifteen- to thirty-fold improvement in performance over the CPU reference implementation is observed as the problem size grows sufficiently large.

Place, publisher, year, edition, pages
2015. , 63 p.
UPTEC F, ISSN 1401-5757 ; 15065
Keyword [en]
GPU, Graphics Processing Unit, American Options, Computer Hardware, High Performance Computing, Computational Finance, Scientific Computing, Mathematical Finance, Parallel Programming
National Category
Computational Mathematics
URN: urn:nbn:se:uu:diva-265257OAI: diva2:864228
External cooperation
Orc Group
Educational program
Master Programme in Engineering Physics
Available from: 2015-10-27 Created: 2015-10-26 Last updated: 2015-10-27Bibliographically approved

Open Access in DiVA

fulltext(1064 kB)70 downloads
File information
File name FULLTEXT01.pdfFile size 1064 kBChecksum SHA-512
Type fulltextMimetype application/pdf

By organisation
Division of Scientific Computing
Computational Mathematics

Search outside of DiVA

GoogleGoogle Scholar
Total: 70 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 295 hits
ReferencesLink to record
Permanent link

Direct link