InforLorV4, Main, Exploration, bibRecord, 003587

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

Identifieur interne : 003587 ( Main/Exploration ); précédent : 003586; suivant : 003588

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

Auteurs : Lokman Abbas-Turki [France] ; Stéphane Vialle [France] ; Bernard Lapeyre [France] ; Patrick Mercier [France]

Source :

RBID : Hal:hal-00390289

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.

Url:

https://hal-supelec.archives-ouvertes.fr/hal-00390289

DOI: 10.1109/IPDPS.2009.5161143

Affiliations:

France

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Le document en format XML

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

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

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Abstract

Links toward previous steps (curation, corpus...)

Le document en format XML

Pour manipuler ce document sous Unix (Dilib)

Pour mettre un lien sur cette page dans le réseau Wicri