{"title":"图形亚洲期权","authors":"M. Joshi","doi":"10.2139/ssrn.1473563","DOIUrl":null,"url":null,"abstract":"We study the problem of pricing an Asian option using CUDA on a graphics processing unit. We demonstrate that it is possible to get accuracy of 2E-4 in less than a fiftieth of a second.","PeriodicalId":40006,"journal":{"name":"Journal of Derivatives","volume":"104 1","pages":""},"PeriodicalIF":0.4000,"publicationDate":"2009-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"28","resultStr":"{\"title\":\"Graphical Asian Options\",\"authors\":\"M. Joshi\",\"doi\":\"10.2139/ssrn.1473563\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We study the problem of pricing an Asian option using CUDA on a graphics processing unit. We demonstrate that it is possible to get accuracy of 2E-4 in less than a fiftieth of a second.\",\"PeriodicalId\":40006,\"journal\":{\"name\":\"Journal of Derivatives\",\"volume\":\"104 1\",\"pages\":\"\"},\"PeriodicalIF\":0.4000,\"publicationDate\":\"2009-09-14\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"28\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Derivatives\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.1473563\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Derivatives","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.2139/ssrn.1473563","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
We study the problem of pricing an Asian option using CUDA on a graphics processing unit. We demonstrate that it is possible to get accuracy of 2E-4 in less than a fiftieth of a second.
期刊介绍：
The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets
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