HETEROGENEOUS COMPUTATION OF RAINBOW OPTION PRICES USING FOURIER COSINE SERIES EXPANSION UNDER A MIXED CPU–GPU COMPUTATION FRAMEWORK

A. Cassagnes, Y. Chen and H. Ohashi

Intelligent Systems in Accounting, Finance and Management, 2014, vol. 21, issue 2, 91-104

Abstract: This paper focuses on comparing different heterogeneous computational designs for the calculation of rainbow options prices using the Fourier‐cosine series expansion (COS) method. We also propose a simple enough way to automatically decide the ratio of load balancing at runtime. A general‐purpose computing on graphic processing unit implementation of the two‐dimensional composite Simpson rule free of conditional statements with some degree of loop unrolling is also introduced. We will also show how to reduce the integration domain of coefficients appearing in the option pricing and by doing so achieve a substantial speed‐up and improve accuracy when compared with a straightforward implementation. Copyright © 2014 John Wiley & Sons, Ltd.

Date: 2014
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