![Scientific and technical journal «Priborostroenie»](/images/mag-pr.png)
APPLICATION OF CUDA TECHNIQUE TO QUICKEN CALCULATION OF EUROPEAN OPTION PRICES BY FINITE-DIFFERENCE METHOD
![Scientific and technical journal «Priborostroenie»](/images/mag-pr.png)
Annotation
Crank—Nicolson scheme for Black–Scholes partial differential equation is fully implemented on graphics processor using CUDA technique. The developed code on GPU NVIDIA GTX 580 works more than 20 times faster than the single-threaded calculation on CPU Intel Core i7 3.4 GHz, and 2—3 times faster than the best results obtained with multi-thread version based on GCD technique on CPUs 2 x Intel Xeon 3.06 GHz with 24 cores in conditions typical for high-frequency algorithmic trading systems.
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Articles in current issue
- CONTEXT MANAGEMENT IN INFORMATION SYSTEMS
- APPLICATION OF CUDA TECHNIQUE TO QUICKEN CALCULATION OF EUROPEAN OPTION PRICES BY FINITE-DIFFERENCE METHOD
- ANALYSIS OF CUDA EFFICIENCY IN SOLVING LINEAR TRIDIAGONAL SYSTEMS FOR THEORETICAL OPTION PRICING
- STUDY OF TRANSFORM CODING ALGORITHMS IN COMPRESSION OF VIDEO SEQUENCE FRAMES
- NEURAL NETWORK METHODS OF PERSON IDENTIFICATION BY FACE IMAGE
- MODEL OF CONTROL OVER ACCESS TO NEWLY CREATED FILE OBJECTS
- CONVERSION OF ALGORITHM MODELS
- CREATING A CAD SIMULATOR OF A ROUTED COMPUTER NETWORK USING OPEN SOURCE COMPONENTS
- FUNCTIONAL RELIABILITY OF COMPUTING SYSTEMS WITH REDISTRIBUTION OF INQUIRIES
- PROBLEMS OF SYNTHESIS OF SYSTEMS WITH LOSSES
- PRIORITY-BASED MECHANISMS OF SERVICE QUALITY PROVISION IN MULTISERVICE COMPUTER NETWORKS
- COMPOSITE CODE SCALES FOR CONVERTERS OF LINEAR MOVEMENTS
- DESIGN OF INSTRUMENT CONTROLLERS
- ASPECT TECHNOLOGIES IN DEVELOPMENT OF SW-INTENSIVE SYSTEMS
- A COMPUTER-AIDED SYSTEM FOR PSEUDO-REGULAR CODE SCALE DESIGN
- METHOD OF REVERSE RANDOM SAMPLING FOR MEASUREMENT OF TIME DELAY IN ELEMENT OF THE INTEGRATED CIRCUIT WITH PICOSECOND ACCURACY