Parallel Option Pricing with BSDE Method on GPU

Abstract

The development of the hardware changes program structure. Now the Graphic Processing Unit (GPU) has evolved into an extremely flexible, powerful and cost-efficient processor, which is specialized for compute intensive, massively data parallel computation. In the field of financial derivatives pricing and risk management, the Backward Stochastic Differential Equation (BSDE) is a robust tool. The aim of this paper is the efficient use of GPU acceleration for option pricing with BSDEs. Experimental results show that a GPU can achieve a superior performance, greater than 230×, compared with the CPU-only case.