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High Dimensional Pricing of Exotic European Contracts on a GPU Cluster, and Comparison to a CPU Cluster

Lokman Abbas-Turki 1 Stéphane Vialle 2, 3 Bernard Lapeyre 1 Patrick Mercier 2
1 CERMICS - Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique
2 SUPELEC-Campus Metz
3 ALGORILLE - Algorithms for the Grid
INRIA Lorraine, LORIA - Laboratoire Lorrain de Recherche en Informatique et ses Applications
Abstract : The aim of this paper is the efficient use of CPU and GPU clusters for a general path-dependent exotic European pricing, and their comparison in terms of speed and energy consumption. To reach our goal, we propose a parallel random number generator which is well suited to the parallelization paradigm, then, we implement a multidimensional Asian contract as a benchmark using g++/OpenMP/OpenMPI on CPUs and CUDA-nvcc/OpenMPI on GPUs. Finally, we give the detailed results of the two architectures for different size problems using 1-16 GPUs and 1-256 dual-core CPUs.
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https://hal-supelec.archives-ouvertes.fr/hal-00390289
Contributor : Sébastien van Luchene Connect in order to contact the contributor
Submitted on : Monday, June 1, 2009 - 3:31:52 PM
Last modification on : Monday, December 6, 2021 - 6:08:02 PM

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CNRS | INRIA | ENPC | CERMICS | SUPELEC | PARISTECH | LORIA | UNIV-LORRAINE

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Lokman Abbas-Turki, Stéphane Vialle, Bernard Lapeyre, Patrick Mercier. High Dimensional Pricing of Exotic European Contracts on a GPU Cluster, and Comparison to a CPU Cluster. Second International Workshop on Parallel and Distributed Computing in Finance - PDCoF 2009, May 2009, Rome, Italy. Proceedings on CD-ROM (8 p.), ⟨10.1109/IPDPS.2009.5161143⟩. ⟨hal-00390289⟩

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