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Conference Paper: CPU-GPU hybrid parallel binomial American option pricing
Title | CPU-GPU hybrid parallel binomial American option pricing |
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Authors | |
Keywords | Binomial method Graphics processing unit Heterogeneous processing Option pricing Parallel computing |
Issue Date | 2012 |
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? |
Abstract | We 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 Identifier | http://hdl.handle.net/10722/198786 |
ISBN | |
ISSN | 2020 SCImago Journal Rankings: 0.117 |
DC Field | Value | Language |
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dc.contributor.author | Zhang, Nan | - |
dc.contributor.author | Lim, Enggee | - |
dc.contributor.author | Man, K. L. | - |
dc.contributor.author | Lei, Chi-Un | - |
dc.date.accessioned | 2014-07-09T03:42:15Z | - |
dc.date.available | 2014-07-09T03:42:15Z | - |
dc.date.issued | 2012 | - |
dc.identifier.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 | - |
dc.identifier.isbn | 9789881925190 | - |
dc.identifier.issn | 2078-0958 | - |
dc.identifier.uri | http://hdl.handle.net/10722/198786 | - |
dc.description.abstract | We 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.language | eng | - |
dc.relation.ispartof | Lecture Notes in Engineering and Computer Science | - |
dc.subject | Binomial method | - |
dc.subject | Graphics processing unit | - |
dc.subject | Heterogeneous processing | - |
dc.subject | Option pricing | - |
dc.subject | Parallel computing | - |
dc.title | CPU-GPU hybrid parallel binomial American option pricing | - |
dc.type | Conference_Paper | - |
dc.description.nature | published_or_final_version | - |
dc.identifier.scopus | eid_2-s2.0-84866452945 | - |
dc.identifier.hkuros | 230678 | - |
dc.identifier.volume | 2 | - |
dc.identifier.spage | 1157 | - |
dc.identifier.epage | 1162 | - |
dc.identifier.issnl | 2078-0958 | - |