Graphical Asian Options

11 Pages Posted: 16 Sep 2009 Last revised: 31 Oct 2009

Mark S. Joshi

The University of Melbourne - Centre for Actuarial Studies

Date Written: September 14, 2009

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.

Keywords: Asian options, GPU, CUDA

JEL Classification: G13

Suggested Citation

Joshi, Mark S., Graphical Asian Options (September 14, 2009). Available at SSRN: https://ssrn.com/abstract=1473563 or http://dx.doi.org/10.2139/ssrn.1473563

Mark Joshi (Contact Author)

The University of Melbourne - Centre for Actuarial Studies ( email )

Melbourne, 3010
Australia

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