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Pagès et al., 2012 - Google Patents

GPGPUs in computational finance: massive parallel computing for American style options

Pagès et al., 2012

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Document ID
15931685348689294135
Author
Pagès G
Wilbertz B
Publication year
Publication venue
Concurrency and Computation: Practice and Experience

External Links

Snippet

The pricing of American style and multiple exercise options is a very challenging problem in mathematical finance. One usually employs a least squares Monte Carlo approach (Longstaff–Schwartz method) for the evaluation of conditional expectations, which arise in …
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Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06F—ELECTRICAL DIGITAL DATA PROCESSING
    • G06F9/00—Arrangements for programme control, e.g. control unit
    • G06F9/06—Arrangements for programme control, e.g. control unit using stored programme, i.e. using internal store of processing equipment to receive and retain programme
    • G06F9/30—Arrangements for executing machine-instructions, e.g. instruction decode
    • G06F9/30003—Arrangements for executing specific machine instructions
    • G06F9/30076—Arrangements for executing specific machine instructions to perform miscellaneous control operations, e.g. NOP
    • G06F9/30087—Synchronisation or serialisation instructions
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06F—ELECTRICAL DIGITAL DATA PROCESSING
    • G06F9/00—Arrangements for programme control, e.g. control unit
    • G06F9/06—Arrangements for programme control, e.g. control unit using stored programme, i.e. using internal store of processing equipment to receive and retain programme
    • G06F9/30—Arrangements for executing machine-instructions, e.g. instruction decode
    • G06F9/38—Concurrent instruction execution, e.g. pipeline, look ahead
    • G06F9/3836—Instruction issuing, e.g. dynamic instruction scheduling, out of order instruction execution
    • G06F9/3842—Speculative instruction execution
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06N—COMPUTER SYSTEMS BASED ON SPECIFIC COMPUTATIONAL MODELS
    • G06N3/00—Computer systems based on biological models
    • G06N3/02—Computer systems based on biological models using neural network models
    • G06N3/04—Architectures, e.g. interconnection topology
    • G06N3/0472—Architectures, e.g. interconnection topology using probabilistic elements, e.g. p-rams, stochastic processors
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06F—ELECTRICAL DIGITAL DATA PROCESSING
    • G06F9/00—Arrangements for programme control, e.g. control unit
    • G06F9/06—Arrangements for programme control, e.g. control unit using stored programme, i.e. using internal store of processing equipment to receive and retain programme
    • G06F9/46—Multiprogramming arrangements
    • G06F9/52—Programme synchronisation; Mutual exclusion, e.g. by means of semaphores; Contention for resources among tasks
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06F—ELECTRICAL DIGITAL DATA PROCESSING
    • G06F2207/00—Indexing scheme relating to methods or arrangements for processing data by operating upon the order or content of the data handled
    • G06F2207/72—Indexing scheme relating to groups G06F7/72 - G06F7/729
    • G06F2207/7219—Countermeasures against side channel or fault attacks

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