An efficient graphics processing unit-based parallel algorithm for pricing multi-asset American options

SUMMARY We develop highly efficient parallel PDE‐based pricing methods on graphics processing units (GPUs) for multi‐asset American options. Our pricing approach is built upon a combination of a discrete penalty approach for the linear complementarity problem arising because of the free boundary and...

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Veröffentlicht in:	Concurrency and computation 2012-06, Vol.24 (8), p.849-866
Hauptverfasser:	Dang, Duy Minh, Christara, Christina C., Jackson, Kenneth R.
Format:	Artikel
Sprache:	eng
Schlagworte:	alternating direction implicit approximate factorization American option finite difference graphics processing units (GPUs) multi-asset parallel computing penalty method time adaptivity
Online-Zugang:	Volltext
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