Graphical Asian Options

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2009 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Mark S. Joshi;

doi: 10.2139/ssrn.1473563 , 10.1002/wilj.26

Graphical Asian Options

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Abstract

AbstractWe discuss the problem of pricing Asian options in the Black–Scholes model using CUDA on a graphics processing unit. We survey some of the issues with GPU programming and discuss code design and memory usage. We show that by using a Quasi Monte Carlo simulation with a geometric Asian option as a control variate, it is possible to get prices that are accurate to 2E‐4 within a fiftieth of a second. Copyright © 2010 Wilmott Magazine Ltd.

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University of Melbourne
Australia

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