Pricing European options using Monte Carlo methods
Xu, Zhentao
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https://hdl.handle.net/2142/78794
Description
Title
Pricing European options using Monte Carlo methods
Author(s)
Xu, Zhentao
Issue Date
2015-04-29
Department of Study
Computer Science
Discipline
Computer Science
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
M.S.
Degree Level
Thesis
Keyword(s)
graphics processor unit (GPU)
Reduction
Abstract
European-style options are quite popular nowadays. Calculating their theo- retical price is not an easy task because there are many sources of uncertainty. However, we can model these uncertainties with random numbers. In this pa- per I discuss my implemention of two options-pricing programs using Monte Carlo methods, one for a CPU and the other for a GPU. I also optimize them to reduce their running time. Finally I compare the performance of those two programs.
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