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Conference Papers Year : 2009

High Dimensional Pricing of Exotic European Contracts on a GPU Cluster, and Comparison to a CPU Cluster

Abstract

The aim of this paper is the efficient use of CPU and GPU clusters for a general path-dependent exotic European pricing, and their comparison in terms of speed and energy consumption. To reach our goal, we propose a parallel random number generator which is well suited to the parallelization paradigm, then, we implement a multidimensional Asian contract as a benchmark using g++/OpenMP/OpenMPI on CPUs and CUDA-nvcc/OpenMPI on GPUs. Finally, we give the detailed results of the two architectures for different size problems using 1-16 GPUs and 1-256 dual-core CPUs.

Dates and versions

hal-00390289 , version 1 (01-06-2009)

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Cite

Lokman A. Abbas-Turki, Stéphane Vialle, Bernard Lapeyre, Patrick Mercier. High Dimensional Pricing of Exotic European Contracts on a GPU Cluster, and Comparison to a CPU Cluster. Second International Workshop on Parallel and Distributed Computing in Finance - PDCoF 2009, May 2009, Rome, Italy. Proceedings on CD-ROM (8 p.), ⟨10.1109/IPDPS.2009.5161143⟩. ⟨hal-00390289⟩
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