Accelerating Exotic Option Pricing and Model Calibration Using GPUs

19 Pages Posted: 3 Feb 2011

Date Written: February 2, 2011

Abstract

Pricing and risk analysis for today's exotic structured equity products is computationally more and more demanding and time consuming. GPUs offer the possibility to significantly increase computing performance even at reduced costs. We applied this technology to replace a large amount of our CPU based computing grid by hybrid GPU/CPU pricing engines.

One GPU based pricing engine with two Tesla C1060 replaced 140 CPU cores in performing Monte Carlo based simulation of our productive structured equity portfolio with the local and stochastic volatility models. Instantaneous calibration of the piecewise timedependent Heston model on a single GPU is enabled.

Keywords: Finance, Exotic Options, Pricing, Local Volatility, Heston, Heston Hull-White, Calibration, GPU

JEL Classification: C15, C61, G13

Suggested Citation

Bernemann, André and Schreyer, Ralph and Spanderen, Klaus, Accelerating Exotic Option Pricing and Model Calibration Using GPUs (February 2, 2011). Available at SSRN: https://ssrn.com/abstract=1753596 or http://dx.doi.org/10.2139/ssrn.1753596

André Bernemann

WestLB ( email )

Herzogstrasse 17
Düsseldorf, 40217
Germany

Ralph Schreyer (Contact Author)

WestLB ( email )

Herzogstrasse 17
Düsseldorf, 40217
Germany

Klaus Spanderen

affiliation not provided to SSRN ( email )

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