Pricing derivatives on graphics processing units using Monte Carlo simulation
Identifieur interne : 000B30 ( Main/Exploration ); précédent : 000B29; suivant : 000B31Pricing derivatives on graphics processing units using Monte Carlo simulation
Auteurs : Lokman A. Abbas-Turki [France] ; Stéphane Vialle [France] ; Bernard Lapeyre [France] ; Patrick Mercier [France]Source :
- Concurrency and Computation: Practice and Experience [ 1532-0626 ] ; 2014-06.
Abstract
This paper is about using the existing Monte Carlo approach for pricing European and American contracts on a state-of-the-art graphics processing unit (GPU) architecture. First, we adapt on a cluster of GPUs two different suitable paradigms of parallelizing random number generators, which were developed for CPU clusters. Because in financial applications, we request results within seconds of simulation, the sufficiently large computations should be implemented on a cluster of machines. Thus, we make the European contract comparison between CPUs and GPUs using from one up to 16 nodes of a CPU/GPU cluster. We show that using GPUs for European contracts reduces the execution time by ∼ 40 and diminishes the energy consumed by ∼ 50 during the simulation. In the second set of experiments, we investigate the benefits of using GPUs' parallelization for pricing American options that require solving an optimal stopping problem and which we implement using the Longstaff and Schwartz regression method. The speedup result obtained for American options varies between two and 10 according to the number of generated paths, the dimensions, and the time discretization.
Url:
DOI: 10.1002/cpe.2862
Affiliations:
Links toward previous steps (curation, corpus...)
- to stream Hal, to step Corpus: 003C85
- to stream Hal, to step Curation: 003C85
- to stream Hal, to step Checkpoint: 000A72
- to stream Main, to step Merge: 000B34
- to stream Main, to step Curation: 000B30
Le document en format XML
<record><TEI><teiHeader><fileDesc><titleStmt><title xml:lang="en">Pricing derivatives on graphics processing units using Monte Carlo simulation</title><author><name sortKey="Abbas Turki, Lokman A" sort="Abbas Turki, Lokman A" uniqKey="Abbas Turki L" first="Lokman A." last="Abbas-Turki">Lokman A. Abbas-Turki</name><affiliation wicri:level="1"><hal:affiliation type="institution" xml:id="struct-301243" status="VALID"><orgName>Université Paris-Est Marne-la-Vallée</orgName><orgName type="acronym">UPEM</orgName><desc><address><addrLine>5 boulevard Descartes - Champs-sur-Marne - 77454 Marne-la-Vallée Cedex2 </addrLine><country key="FR"></country></address><ref type="url">http://www.u-pem.fr/</ref></desc></hal:affiliation><country>France</country></affiliation></author><author><name sortKey="Vialle, Stephane" sort="Vialle, Stephane" uniqKey="Vialle S" first="Stéphane" last="Vialle">Stéphane Vialle</name><affiliation wicri:level="1"><hal:affiliation type="researchteam" xml:id="struct-205117" status="VALID"><idno type="RNSR">200718299P</idno><orgName>Algorithms for the Grid</orgName><orgName type="acronym">ALGORILLE</orgName><desc><address><country key="FR"></country></address><ref type="url">http://www.inria.fr/equipes/algorille</ref></desc><listRelation><relation active="#struct-129671" type="direct"></relation><relation active="#struct-300009" type="indirect"></relation><relation active="#struct-423085" type="direct"></relation><relation active="#struct-206040" type="indirect"></relation><relation active="#struct-413289" type="indirect"></relation><relation name="UMR7503" active="#struct-441569" type="indirect"></relation></listRelation><tutelles><tutelle active="#struct-129671" type="direct"><org type="laboratory" xml:id="struct-129671" status="VALID"><idno type="RNSR">198618246Y</idno><orgName>INRIA Nancy - Grand Est</orgName><desc><address><addrLine>615 rue du Jardin Botanique 54600 Villers-lès-Nancy</addrLine><country key="FR"></country></address><ref type="url">http://www.inria.fr/nancy</ref></desc><listRelation><relation active="#struct-300009" type="direct"></relation></listRelation></org></tutelle><tutelle active="#struct-300009" type="indirect"><org type="institution" xml:id="struct-300009" status="VALID"><orgName>Institut National de Recherche en Informatique et en Automatique</orgName><orgName type="acronym">Inria</orgName><desc><address><addrLine>Domaine de VoluceauRocquencourt - BP 10578153 Le Chesnay Cedex</addrLine><country key="FR"></country></address><ref type="url">http://www.inria.fr/en/</ref></desc></org></tutelle><tutelle active="#struct-423085" type="direct"><org type="department" xml:id="struct-423085" status="VALID"><orgName>Department of Networks, Systems and Services</orgName><orgName type="acronym">LORIA - NSS</orgName><desc><address><country key="FR"></country></address><ref type="url">http://www.loria.fr/la-recherche-en/departements/networks-systems-and-services</ref></desc><listRelation><relation active="#struct-206040" type="direct"></relation><relation active="#struct-300009" type="indirect"></relation><relation active="#struct-413289" type="indirect"></relation><relation name="UMR7503" active="#struct-441569" type="indirect"></relation></listRelation></org></tutelle><tutelle active="#struct-206040" type="indirect"><org type="laboratory" xml:id="struct-206040" status="VALID"><idno type="IdRef">067077927</idno><idno type="RNSR">198912571S</idno><idno type="IdUnivLorraine">[UL]RSI--</idno><orgName>Laboratoire Lorrain de Recherche en Informatique et ses Applications</orgName><orgName type="acronym">LORIA</orgName><date type="start">2012-01-01</date><desc><address><addrLine>Campus Scientifique BP 239 54506 Vandoeuvre-lès-Nancy Cedex</addrLine><country key="FR"></country></address><ref type="url">http://www.loria.fr</ref></desc><listRelation><relation active="#struct-300009" type="direct"></relation><relation active="#struct-413289" type="direct"></relation><relation name="UMR7503" active="#struct-441569" type="direct"></relation></listRelation></org></tutelle><tutelle active="#struct-413289" type="indirect"><org type="institution" xml:id="struct-413289" status="VALID"><idno type="IdRef">157040569</idno><idno type="IdUnivLorraine">[UL]100--</idno><orgName>Université de Lorraine</orgName><orgName type="acronym">UL</orgName><date type="start">2012-01-01</date><desc><address><addrLine>34 cours Léopold - CS 25233 - 54052 Nancy cedex</addrLine><country key="FR"></country></address><ref type="url">http://www.univ-lorraine.fr/</ref></desc></org></tutelle><tutelle name="UMR7503" active="#struct-441569" type="indirect"><org type="institution" xml:id="struct-441569" status="VALID"><idno type="ISNI">0000000122597504</idno><idno type="IdRef">02636817X</idno><orgName>Centre National de la Recherche Scientifique</orgName><orgName type="acronym">CNRS</orgName><date type="start">1939-10-19</date><desc><address><country key="FR"></country></address><ref type="url">http://www.cnrs.fr/</ref></desc></org></tutelle></tutelles></hal:affiliation><country>France</country><placeName><settlement type="city">Nancy</settlement><settlement type="city">Metz</settlement><region type="region" nuts="2">Grand Est</region><region type="old region" nuts="2">Lorraine (région)</region></placeName><orgName type="university">Université de Lorraine</orgName></affiliation></author><author><name sortKey="Lapeyre, Bernard" sort="Lapeyre, Bernard" uniqKey="Lapeyre B" first="Bernard" last="Lapeyre">Bernard Lapeyre</name><affiliation wicri:level="1"><hal:affiliation type="laboratory" xml:id="struct-51621" status="VALID"><orgName>Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique</orgName><orgName type="acronym">CERMICS</orgName><desc><address><addrLine>6 et 8 avenue Blaise Pascal Cité Descartes - Champs sur Marne 77455 Marne la Vallée Cedex 2</addrLine><country key="FR"></country></address><ref type="url">http://cermics.enpc.fr/</ref></desc><listRelation><relation active="#struct-301545" type="direct"></relation><relation active="#struct-303005" type="direct"></relation></listRelation><tutelles><tutelle active="#struct-301545" type="direct"><org type="institution" xml:id="struct-301545" status="OLD"><orgName>École des Ponts ParisTech (ENPC)</orgName><desc><address><country key="FR"></country></address></desc></org></tutelle><tutelle active="#struct-303005" type="direct"><org type="institution" xml:id="struct-303005" status="VALID"><orgName>Université Paris-Est </orgName><orgName type="acronym">UPE</orgName><desc><address><addrLine>6-8 avenue Blaise-PascalCité Descartes - Champs-sur-Marne77455 Marne-la-Vallée</addrLine><country key="FR"></country></address><ref type="url">http://www.univ-paris-est.fr</ref></desc></org></tutelle></tutelles></hal:affiliation><country>France</country></affiliation></author><author><name sortKey="Mercier, Patrick" sort="Mercier, Patrick" uniqKey="Mercier P" first="Patrick" last="Mercier">Patrick Mercier</name><affiliation wicri:level="1"><hal:affiliation type="laboratory" xml:id="struct-26305" status="VALID"><orgName>SUPELEC-Campus Metz</orgName><desc><address><addrLine>2 rue Edouard Belin 57070 Metz</addrLine><country key="FR"></country></address><ref type="url">http://www.metz.supelec.fr/metz/</ref></desc><listRelation><relation active="#struct-300812" type="direct"></relation></listRelation><tutelles><tutelle active="#struct-300812" type="direct"><org type="institution" xml:id="struct-300812" status="VALID"><orgName>SUPELEC</orgName><desc><address><country key="FR"></country></address></desc></org></tutelle></tutelles></hal:affiliation><country>France</country></affiliation></author></titleStmt><publicationStmt><idno type="wicri:source">HAL</idno><idno type="RBID">Hal:hal-00773740</idno><idno type="halId">hal-00773740</idno><idno type="halUri">https://hal-supelec.archives-ouvertes.fr/hal-00773740</idno><idno type="url">https://hal-supelec.archives-ouvertes.fr/hal-00773740</idno><idno type="doi">10.1002/cpe.2862</idno><date when="2014-06">2014-06</date><idno type="wicri:Area/Hal/Corpus">003C85</idno><idno type="wicri:Area/Hal/Curation">003C85</idno><idno type="wicri:Area/Hal/Checkpoint">000A72</idno><idno type="wicri:explorRef" wicri:stream="Hal" wicri:step="Checkpoint">000A72</idno><idno type="wicri:doubleKey">1532-0626:2014:Abbas Turki L:pricing:derivatives:on</idno><idno type="wicri:Area/Main/Merge">000B34</idno><idno type="wicri:Area/Main/Curation">000B30</idno><idno type="wicri:Area/Main/Exploration">000B30</idno></publicationStmt><sourceDesc><biblStruct><analytic><title xml:lang="en">Pricing derivatives on graphics processing units using Monte Carlo simulation</title><author><name sortKey="Abbas Turki, Lokman A" sort="Abbas Turki, Lokman A" uniqKey="Abbas Turki L" first="Lokman A." last="Abbas-Turki">Lokman A. Abbas-Turki</name><affiliation wicri:level="1"><hal:affiliation type="institution" xml:id="struct-301243" status="VALID"><orgName>Université Paris-Est Marne-la-Vallée</orgName><orgName type="acronym">UPEM</orgName><desc><address><addrLine>5 boulevard Descartes - Champs-sur-Marne - 77454 Marne-la-Vallée Cedex2 </addrLine><country key="FR"></country></address><ref type="url">http://www.u-pem.fr/</ref></desc></hal:affiliation><country>France</country></affiliation></author><author><name sortKey="Vialle, Stephane" sort="Vialle, Stephane" uniqKey="Vialle S" first="Stéphane" last="Vialle">Stéphane Vialle</name><affiliation wicri:level="1"><hal:affiliation type="researchteam" xml:id="struct-205117" status="VALID"><idno type="RNSR">200718299P</idno><orgName>Algorithms for the Grid</orgName><orgName type="acronym">ALGORILLE</orgName><desc><address><country key="FR"></country></address><ref type="url">http://www.inria.fr/equipes/algorille</ref></desc><listRelation><relation active="#struct-129671" type="direct"></relation><relation active="#struct-300009" type="indirect"></relation><relation active="#struct-423085" type="direct"></relation><relation active="#struct-206040" type="indirect"></relation><relation active="#struct-413289" type="indirect"></relation><relation name="UMR7503" active="#struct-441569" type="indirect"></relation></listRelation><tutelles><tutelle active="#struct-129671" type="direct"><org type="laboratory" xml:id="struct-129671" status="VALID"><idno type="RNSR">198618246Y</idno><orgName>INRIA Nancy - Grand Est</orgName><desc><address><addrLine>615 rue du Jardin Botanique 54600 Villers-lès-Nancy</addrLine><country key="FR"></country></address><ref type="url">http://www.inria.fr/nancy</ref></desc><listRelation><relation active="#struct-300009" type="direct"></relation></listRelation></org></tutelle><tutelle active="#struct-300009" type="indirect"><org type="institution" xml:id="struct-300009" status="VALID"><orgName>Institut National de Recherche en Informatique et en Automatique</orgName><orgName type="acronym">Inria</orgName><desc><address><addrLine>Domaine de VoluceauRocquencourt - BP 10578153 Le Chesnay Cedex</addrLine><country key="FR"></country></address><ref type="url">http://www.inria.fr/en/</ref></desc></org></tutelle><tutelle active="#struct-423085" type="direct"><org type="department" xml:id="struct-423085" status="VALID"><orgName>Department of Networks, Systems and Services</orgName><orgName type="acronym">LORIA - NSS</orgName><desc><address><country key="FR"></country></address><ref type="url">http://www.loria.fr/la-recherche-en/departements/networks-systems-and-services</ref></desc><listRelation><relation active="#struct-206040" type="direct"></relation><relation active="#struct-300009" type="indirect"></relation><relation active="#struct-413289" type="indirect"></relation><relation name="UMR7503" active="#struct-441569" type="indirect"></relation></listRelation></org></tutelle><tutelle active="#struct-206040" type="indirect"><org type="laboratory" xml:id="struct-206040" status="VALID"><idno type="IdRef">067077927</idno><idno type="RNSR">198912571S</idno><idno type="IdUnivLorraine">[UL]RSI--</idno><orgName>Laboratoire Lorrain de Recherche en Informatique et ses Applications</orgName><orgName type="acronym">LORIA</orgName><date type="start">2012-01-01</date><desc><address><addrLine>Campus Scientifique BP 239 54506 Vandoeuvre-lès-Nancy Cedex</addrLine><country key="FR"></country></address><ref type="url">http://www.loria.fr</ref></desc><listRelation><relation active="#struct-300009" type="direct"></relation><relation active="#struct-413289" type="direct"></relation><relation name="UMR7503" active="#struct-441569" type="direct"></relation></listRelation></org></tutelle><tutelle active="#struct-413289" type="indirect"><org type="institution" xml:id="struct-413289" status="VALID"><idno type="IdRef">157040569</idno><idno type="IdUnivLorraine">[UL]100--</idno><orgName>Université de Lorraine</orgName><orgName type="acronym">UL</orgName><date type="start">2012-01-01</date><desc><address><addrLine>34 cours Léopold - CS 25233 - 54052 Nancy cedex</addrLine><country key="FR"></country></address><ref type="url">http://www.univ-lorraine.fr/</ref></desc></org></tutelle><tutelle name="UMR7503" active="#struct-441569" type="indirect"><org type="institution" xml:id="struct-441569" status="VALID"><idno type="ISNI">0000000122597504</idno><idno type="IdRef">02636817X</idno><orgName>Centre National de la Recherche Scientifique</orgName><orgName type="acronym">CNRS</orgName><date type="start">1939-10-19</date><desc><address><country key="FR"></country></address><ref type="url">http://www.cnrs.fr/</ref></desc></org></tutelle></tutelles></hal:affiliation><country>France</country><placeName><settlement type="city">Nancy</settlement><settlement type="city">Metz</settlement><region type="region" nuts="2">Grand Est</region><region type="old region" nuts="2">Lorraine (région)</region></placeName><orgName type="university">Université de Lorraine</orgName></affiliation></author><author><name sortKey="Lapeyre, Bernard" sort="Lapeyre, Bernard" uniqKey="Lapeyre B" first="Bernard" last="Lapeyre">Bernard Lapeyre</name><affiliation wicri:level="1"><hal:affiliation type="laboratory" xml:id="struct-51621" status="VALID"><orgName>Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique</orgName><orgName type="acronym">CERMICS</orgName><desc><address><addrLine>6 et 8 avenue Blaise Pascal Cité Descartes - Champs sur Marne 77455 Marne la Vallée Cedex 2</addrLine><country key="FR"></country></address><ref type="url">http://cermics.enpc.fr/</ref></desc><listRelation><relation active="#struct-301545" type="direct"></relation><relation active="#struct-303005" type="direct"></relation></listRelation><tutelles><tutelle active="#struct-301545" type="direct"><org type="institution" xml:id="struct-301545" status="OLD"><orgName>École des Ponts ParisTech (ENPC)</orgName><desc><address><country key="FR"></country></address></desc></org></tutelle><tutelle active="#struct-303005" type="direct"><org type="institution" xml:id="struct-303005" status="VALID"><orgName>Université Paris-Est </orgName><orgName type="acronym">UPE</orgName><desc><address><addrLine>6-8 avenue Blaise-PascalCité Descartes - Champs-sur-Marne77455 Marne-la-Vallée</addrLine><country key="FR"></country></address><ref type="url">http://www.univ-paris-est.fr</ref></desc></org></tutelle></tutelles></hal:affiliation><country>France</country></affiliation></author><author><name sortKey="Mercier, Patrick" sort="Mercier, Patrick" uniqKey="Mercier P" first="Patrick" last="Mercier">Patrick Mercier</name><affiliation wicri:level="1"><hal:affiliation type="laboratory" xml:id="struct-26305" status="VALID"><orgName>SUPELEC-Campus Metz</orgName><desc><address><addrLine>2 rue Edouard Belin 57070 Metz</addrLine><country key="FR"></country></address><ref type="url">http://www.metz.supelec.fr/metz/</ref></desc><listRelation><relation active="#struct-300812" type="direct"></relation></listRelation><tutelles><tutelle active="#struct-300812" type="direct"><org type="institution" xml:id="struct-300812" status="VALID"><orgName>SUPELEC</orgName><desc><address><country key="FR"></country></address></desc></org></tutelle></tutelles></hal:affiliation><country>France</country></affiliation></author></analytic><idno type="DOI">10.1002/cpe.2862</idno><series><title level="j">Concurrency and Computation: Practice and Experience</title><idno type="ISSN">1532-0626</idno><imprint><date type="datePub">2014-06</date></imprint></series></biblStruct></sourceDesc></fileDesc><profileDesc><textClass></textClass></profileDesc></teiHeader><front><div type="abstract" xml:lang="en">This paper is about using the existing Monte Carlo approach for pricing European and American contracts on a state-of-the-art graphics processing unit (GPU) architecture. First, we adapt on a cluster of GPUs two different suitable paradigms of parallelizing random number generators, which were developed for CPU clusters. Because in financial applications, we request results within seconds of simulation, the sufficiently large computations should be implemented on a cluster of machines. Thus, we make the European contract comparison between CPUs and GPUs using from one up to 16 nodes of a CPU/GPU cluster. We show that using GPUs for European contracts reduces the execution time by ∼ 40 and diminishes the energy consumed by ∼ 50 during the simulation. In the second set of experiments, we investigate the benefits of using GPUs' parallelization for pricing American options that require solving an optimal stopping problem and which we implement using the Longstaff and Schwartz regression method. The speedup result obtained for American options varies between two and 10 according to the number of generated paths, the dimensions, and the time discretization.</div></front></TEI><affiliations><list><country><li>France</li></country><region><li>Grand Est</li><li>Lorraine (région)</li></region><settlement><li>Metz</li><li>Nancy</li></settlement><orgName><li>Université de Lorraine</li></orgName></list><tree><country name="France"><noRegion><name sortKey="Abbas Turki, Lokman A" sort="Abbas Turki, Lokman A" uniqKey="Abbas Turki L" first="Lokman A." last="Abbas-Turki">Lokman A. Abbas-Turki</name></noRegion><name sortKey="Lapeyre, Bernard" sort="Lapeyre, Bernard" uniqKey="Lapeyre B" first="Bernard" last="Lapeyre">Bernard Lapeyre</name><name sortKey="Mercier, Patrick" sort="Mercier, Patrick" uniqKey="Mercier P" first="Patrick" last="Mercier">Patrick Mercier</name><name sortKey="Vialle, Stephane" sort="Vialle, Stephane" uniqKey="Vialle S" first="Stéphane" last="Vialle">Stéphane Vialle</name></country></tree></affiliations></record>Pour manipuler ce document sous Unix (Dilib)
EXPLOR_STEP=$WICRI_ROOT/Wicri/Lorraine/explor/InforLorV4/Data/Main/Exploration
HfdSelect -h $EXPLOR_STEP/biblio.hfd -nk 000B30 | SxmlIndent | more
Ou
HfdSelect -h $EXPLOR_AREA/Data/Main/Exploration/biblio.hfd -nk 000B30 | SxmlIndent | more
Pour mettre un lien sur cette page dans le réseau Wicri
{{Explor lien
|wiki= Wicri/Lorraine
|area= InforLorV4
|flux= Main
|étape= Exploration
|type= RBID
|clé= Hal:hal-00773740
|texte= Pricing derivatives on graphics processing units using Monte Carlo simulation
}}
| This area was generated with Dilib version V0.6.33. |  |