The development of the hardware changes program structure. Now the Graphic Processing Unit (GPU) has evolved into an extremely flexible, powerful and cost-efficient processor, which is specialized for compute intensive, massively data parallel computation. In the field of financial derivatives pricing and risk management, the Backward Stochastic Differential Equation (BSDE) is a robust tool. The aim of this paper is the efficient use of GPU acceleration for option pricing with BSDEs. Experimental results show that a GPU can achieve a superior performance, greater than 230x, compared with the CPU-only case.
['Bin Dai', 'Ying Peng', 'Bin Gong']
Parallel Option Pricing with BSDE Method on GPU