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Zhang et al., 2012 - Google Patents

Cpu-gpu hybrid parallel binomial american option pricing

Zhang et al., 2012

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Document ID
9352251790644465915
Author
Zhang N
Lim E
Man K
Lei C
Publication year
Publication venue
Lecture Notes in Engineering and Computer Science

External Links

Snippet

We present in this paper a novel parallel binomial algorithm that computes the price of an American option. The algorithm partitions a binomial tree constructed for the pricing into blocks of multiple levels of nodes, and assigns each such block to multiple processors. Each …
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Classifications

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    • G06F9/46—Multiprogramming arrangements
    • G06F9/48—Programme initiating; Programme switching, e.g. by interrupt
    • G06F9/4806—Task transfer initiation or dispatching
    • G06F9/4843—Task transfer initiation or dispatching by program, e.g. task dispatcher, supervisor, operating system
    • G06F9/4881—Scheduling strategies for dispatcher, e.g. round robin, multi-level priority queues
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    • G06F9/3885—Concurrent instruction execution, e.g. pipeline, look ahead using a plurality of independent parallel functional units
    • G06F9/3889—Concurrent instruction execution, e.g. pipeline, look ahead using a plurality of independent parallel functional units controlled by multiple instructions, e.g. MIMD, decoupled access or execute
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