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GTC ON-DEMAND

Developer - Algorithms
Presentation
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CUDA Implemenation of Barrier Option Valuation using Jump-Diffusion Model and Browning Bridge
Speakers:
Vincent Natoli
- Stone Ridge Technology
Abstract:
Impressive speedups up to 100x using GPUs compared to CPUs are achieved by taking advantage data parallelism, increased bandwidth and the ability to hide latency. We have implemented a Monte Carlo valuation of a barrier option modeled by a standard diffusion process with a jump diffusion term obeying an underlying Poisson process to account for rare events. In addition, a Brownian Bridge is incorporated to account for barrier crossings in between diffusion trajectories and to reduce bias. This option is representative of exotic options which lack a closed-form solution and are amenable to Monte Carlo type methods for valuation.
 
Topics:
Developer - Algorithms
Type:
Poster
Event:
GTC Silicon Valley
Year:
2010
Session ID:
P10A17
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