The acceleration of an option pricing technique based on Fourier cosine expansions on the graphics processing unit (GPU) is reported. European options, in particular with multiple strikes, and Bermudan options will be discussed. The influence of the number of terms in the Fourier cosine series expansion, the number of strikes, as well as the number of exercise dates for Bermudan options is explored. We also give details about the different ways of implementing on a GPU. Numerical examples include asset price processes on the basis of a Lévy process of infinite activity and the stochastic volatility Heston model. Furthermore, we discuss the issue of precision on the present GPU systems.
Additional Metadata
Keywords option pricing, Fourier cosine expansions, graphics processing units implementation, options with multiple strikes, Riccati ODEs, jump and stochastic volatility processes
THEME Other (theme 6)
Publisher Wiley
Persistent URL dx.doi.org/10.1002/cpe.2825
Journal Concurrency and Computation
Citation
Zhang, B, & Oosterlee, C.W. (2014). Acceleration of option pricing technique on graphics processing units. Concurrency and Computation, 26(9), 1626–1639. doi:10.1002/cpe.2825