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GTC ON-DEMAND

Finance
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Monte-Carlo Simulation of American Options with GPUs
Abstract:
In that session we will present our work on the computation of the Greeks of multi-asset American options. We will describe our implementation of the Longstaff-Schwartz algorithm and explain the programming techniques used to obtain a very efficient code for the Andersen-QE path discretization. This solution was developed in collaboration with IBM and STAC and is used to calculate the Greeks in real-time on a single workstation with Tesla GPUs.
 
Topics:
Finance
Type:
Talk
Event:
GTC Silicon Valley
Year:
2014
Session ID:
S4784
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