Pricing of American Options by Adaptive Tree Methods on GPUs
Independent thesis Advanced level (professional degree), 20 credits / 30 HE creditsStudent thesis
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
GPU, Graphics Processing Unit, American Options, Computer Hardware, High Performance Computing, Computational Finance, Scientific Computing, Mathematical Finance, Parallel Programming
IdentifiersURN: urn:nbn:se:uu:diva-265257OAI: oai:DiVA.org:uu-265257DiVA: diva2:864228
Master Programme in Engineering Physics
Bäcklund, PierreHägg, Jonas
Nyberg, TomasHöök, Josef