Option Pricing

ArrayFireArrayFire, Benchmarks, C/C++, Case Studies, CUDA 2 Comments

Andrew Shin, Market Risk Manager of Koch Supply & Trading, achieves significant performance increases on option pricing algorithms using Jacket to accelerate his MATLAB® code with GPUs. Andrew says, “My buddy and I are, at best, novice programmers and we couldn’t imagine having to figure out how to code all this in CUDA.” But he found Jacket to be straight-forward. With these results, he says he can see Jacket and GPUs populating Koch’s mark-to-futures cube, which contains its assets, simulations, and simulated asset prices. Modern option pricing techniques are often considered among the most mathematically complex of all applied areas of finance. Andrew shared some exemplary code to demonstrate how much leverage you can get out of Jacket and GPUs for financial computing in MATLAB® and C/C++. …