Graphical Asian Options
11 Pages Posted: 16 Sep 2009 Last revised: 31 Oct 2009
Date Written: September 14, 2009
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: Suggested Citation