Kooderive: Multi-Core Graphics Cards, the Libor Market Model, Least-Squares Monte Carlo and the Pricing of Cancellable Swaps
18 Pages Posted: 3 Feb 2014 Last revised: 2 Jun 2014
Date Written: February 11, 2014
We discuss the pricing of cancellable swaps using the displaced diffusion LIBOR market model using a multi-core graphics card. We demonstrate that over one hundred times speed up can be achieved in a realistic case.
Keywords: GPU, Bermudan derivatives, Monte Carlo simulation, Kooderive
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