Using GPU to Accelerate the Least-Squares Monte Carlo Method
碩士 === 國立臺灣大學 === 資訊工程學研究所 === 104 === Least-squares Monte Carlo method (LSM) is a method for pricing American options. The approach can give accurate option prices but it is computation intensive. In this thesis we use data–parallelism techniques to accelerate LSM with GPUs; that is, we will divide...
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2016
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ndltd-TW-104NTU053921192017-04-29T04:31:56Z http://ndltd.ncl.edu.tw/handle/89493919774266460624 Using GPU to Accelerate the Least-Squares Monte Carlo Method 使用圖型處理器加速最小平方蒙地卡羅法 Hsien-Cheng Chen 陳賢誠 碩士 國立臺灣大學 資訊工程學研究所 104 Least-squares Monte Carlo method (LSM) is a method for pricing American options. The approach can give accurate option prices but it is computation intensive. In this thesis we use data–parallelism techniques to accelerate LSM with GPUs; that is, we will divide the computation paths into mutually independent groups. As for the least-squares calculation, QR decomposition is employed. The program is implemented by using CUDA to run on GPUs. The numerical results are compared with a sequential program’s on CPUs. The experiment results show that the more groups are created, the less time it takes to execute. 呂育道 2016 學位論文 ; thesis 31 zh-TW |
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碩士 === 國立臺灣大學 === 資訊工程學研究所 === 104 === Least-squares Monte Carlo method (LSM) is a method for pricing American options. The approach can give accurate option prices but it is computation intensive. In this thesis we use data–parallelism techniques to accelerate LSM with GPUs; that is, we will divide the computation paths into mutually independent groups. As for the least-squares calculation, QR decomposition is employed. The program is implemented by using CUDA to run on GPUs. The numerical results are compared with a sequential program’s on CPUs.
The experiment results show that the more groups are created, the less time it takes to execute.
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| author2 |
呂育道 |
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呂育道 Hsien-Cheng Chen 陳賢誠 |
| author |
Hsien-Cheng Chen 陳賢誠 |
| spellingShingle |
Hsien-Cheng Chen 陳賢誠 Using GPU to Accelerate the Least-Squares Monte Carlo Method |
| author_sort |
Hsien-Cheng Chen |
| title |
Using GPU to Accelerate the Least-Squares Monte Carlo Method |
| title_short |
Using GPU to Accelerate the Least-Squares Monte Carlo Method |
| title_full |
Using GPU to Accelerate the Least-Squares Monte Carlo Method |
| title_fullStr |
Using GPU to Accelerate the Least-Squares Monte Carlo Method |
| title_full_unstemmed |
Using GPU to Accelerate the Least-Squares Monte Carlo Method |
| title_sort |
using gpu to accelerate the least-squares monte carlo method |
| publishDate |
2016 |
| url |
http://ndltd.ncl.edu.tw/handle/89493919774266460624 |
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1718445701000593408 |