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Conference Paper: CPU-GPU hybrid parallel binomial American option pricing

TitleCPU-GPU hybrid parallel binomial American option pricing
Authors
KeywordsBinomial method
Graphics processing unit
Heterogeneous processing
Option pricing
Parallel computing
Issue Date2012
Citation
International MultiConference of Engineers and Computer Scientists (IMECS), Hong Kong, China, 14-16 March 2012. In Lecture Notes in Engineering and Computer Science, 2012, v. 2, p. 1157-1162 How to Cite?
AbstractWe present in this paper a novel parallel binomial algorithm that computes the price of an American option. The algorithm partitions a binomial tree constructed for the pricing into blocks of multiple levels of nodes, and assigns each such block to multiple processors. Each of the processors then computes the option's values at its assigned nodes in two phases. The algorithm is implemented and tested on a heterogeneous system consisting of an Intel multi-core processor and a NVIDIA GPU. The whole task is split and divided over and the CPU and GPU so that the computations are performed on the two processors simultaneously. In the hybrid processing, the GPU is always assigned the last part of a block, and makes use of a couple of buffers in the on-chip shared memory to reduce the number of accesses to the off-chip device memory. The performance of the hybrid processing is compared with an optimised CPU serial code, a CPU parallel implementation and a GPU standalone program.
Persistent Identifierhttp://hdl.handle.net/10722/198786
ISBN
ISSN

 

DC FieldValueLanguage
dc.contributor.authorZhang, Nan-
dc.contributor.authorLim, Enggee-
dc.contributor.authorMan, K. L.-
dc.contributor.authorLei, Chi-Un-
dc.date.accessioned2014-07-09T03:42:15Z-
dc.date.available2014-07-09T03:42:15Z-
dc.date.issued2012-
dc.identifier.citationInternational MultiConference of Engineers and Computer Scientists (IMECS), Hong Kong, China, 14-16 March 2012. In Lecture Notes in Engineering and Computer Science, 2012, v. 2, p. 1157-1162-
dc.identifier.isbn9789881925190-
dc.identifier.issn2078-0958-
dc.identifier.urihttp://hdl.handle.net/10722/198786-
dc.description.abstractWe present in this paper a novel parallel binomial algorithm that computes the price of an American option. The algorithm partitions a binomial tree constructed for the pricing into blocks of multiple levels of nodes, and assigns each such block to multiple processors. Each of the processors then computes the option's values at its assigned nodes in two phases. The algorithm is implemented and tested on a heterogeneous system consisting of an Intel multi-core processor and a NVIDIA GPU. The whole task is split and divided over and the CPU and GPU so that the computations are performed on the two processors simultaneously. In the hybrid processing, the GPU is always assigned the last part of a block, and makes use of a couple of buffers in the on-chip shared memory to reduce the number of accesses to the off-chip device memory. The performance of the hybrid processing is compared with an optimised CPU serial code, a CPU parallel implementation and a GPU standalone program.-
dc.languageeng-
dc.relation.ispartofLecture Notes in Engineering and Computer Science-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectBinomial method-
dc.subjectGraphics processing unit-
dc.subjectHeterogeneous processing-
dc.subjectOption pricing-
dc.subjectParallel computing-
dc.titleCPU-GPU hybrid parallel binomial American option pricing-
dc.typeConference_Paper-
dc.description.naturepublished_or_final_version-
dc.identifier.scopuseid_2-s2.0-84866452945-
dc.identifier.hkuros230678-
dc.identifier.volume2-
dc.identifier.spage1157-
dc.identifier.epage1162-

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