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GTC ON-DEMAND

Finance
Presentation
Media
Pricing American Options Using GPUs
Speakers:
Lokman A.
- Paris-Est University
Abstract:
This presentation focuses on the challenging problem of Pricing High-Dimensional American Options (PHAO) and how GPUs can be involved in this task. On the one hand, we present a method based on Malliavin calculus which is effective for parallel architecture. On the other hand, we compare this method with Longstaff & Schwartz method which is more dedicated to sequential architecture. We will conclude with some ideas about the parallelization of the former method on a cluster of machines and finally we will discuss this method considering it as a reformulation of a non-linear parabolic problem using BSDEs.
 
Topics:
Finance, Physics Simulation
Type:
Talk
Event:
GTC Silicon Valley
Year:
2010
Session ID:
S102101
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