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The rapid development of technologies and applications in recent years poses high demands and challenges for high-performance computing. Because of their competitive performance/price ratio, heterogeneous many-core architectures are widely used in high-performance computing areas. GPU and Xeon Phi are two popular general-purpose many-core accelerators. In this paper, we demonstrate how heterogeneous...
In this paper, we develop acceleration strategies for option pricing with non-linear Backward Stochastic Differential Equation (BSDE), which appears as a robust and valuable tool in financial markets. An efficient binomial lattice based method is adopted to solve the BSDE numerically. In order to reduce the global memory access frequency, the kernel invocation is avoided to be performed on each time...
The development of the hardware changes program structure. Now the Graphic Processing Unit (GPU) has evolved into an extremely flexible, powerful and cost-efficient processor, which is specialized for compute intensive, massively data parallel computation. In the field of financial derivatives pricing and risk management, the Backward Stochastic Differential Equation (BSDE) is a robust tool. The aim...
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