文件名称：Monte Carlo Option Pricing——NVIDIA
文件大小：1.34MB
文件格式：PDF
更新时间：2016-05-28 05:05:49
Monte Carlo NVIDIA
Abstract The pricing of options has been a very important problem encountered in financial engineering since the advent of organized option trading in 1973. As more computation has been applied to finance-related problems, finding efficient implementations of option pricing models on modern architectures has become more important. This white paper describes an implementation of the Monte Carlo approach to option pricing in CUDA. For complete implementation details, please see the “MonteCarlo” example in the NVIDIA CUDA SDK.