Mapping of option pricing algorithms onto heterogeneous many-core architectures

Mapping of option pricing algorithms onto heterogeneous many-core architectures 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 many-core architectures, powered by multi-core CPUs, CUDA-enabled GPUs and Xeon Phis can be used as an efficient computational platform to accelerate popular option pricing algorithms. In order to make full use of the compute power of this architecture, we have used a hybrid computing model which consists of two types of data parallelism: worker level and device level. The worker level data parallelism uses a distributed computing infrastructure for task distribution, while the device level data parallelism uses both the multi-core CPUs and many-core accelerators for fast option pricing calculation. Experiments show that our implementations achieve good performance and scalability on this architecture and also outperform other state-of-the-art GPU-based solutions for Monte Carlo European/American option pricing and BSDE European option pricing. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Supercomputing Springer Journals

Mapping of option pricing algorithms onto heterogeneous many-core architectures

Loading next page...
 
/lp/springer_journal/mapping-of-option-pricing-algorithms-onto-heterogeneous-many-core-1M6n8rK98A
Publisher
Springer US
Copyright
Copyright © 2017 by Springer Science+Business Media New York
Subject
Computer Science; Programming Languages, Compilers, Interpreters; Processor Architectures; Computer Science, general
ISSN
0920-8542
eISSN
1573-0484
D.O.I.
10.1007/s11227-017-1968-z
Publisher site
See Article on Publisher Site

References

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 12 million articles from more than
10,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Unlimited reading

Read as many articles as you need. Full articles with original layout, charts and figures. Read online, from anywhere.

Stay up to date

Keep up with your field with Personalized Recommendations and Follow Journals to get automatic updates.

Organize your research

It’s easy to organize your research with our built-in tools.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

Monthly Plan

  • Read unlimited articles
  • Personalized recommendations
  • No expiration
  • Print 20 pages per month
  • 20% off on PDF purchases
  • Organize your research
  • Get updates on your journals and topic searches

$49/month

Start Free Trial

14-day Free Trial

Best Deal — 39% off

Annual Plan

  • All the features of the Professional Plan, but for 39% off!
  • Billed annually
  • No expiration
  • For the normal price of 10 articles elsewhere, you get one full year of unlimited access to articles.

$588

$360/year

billed annually
Start Free Trial

14-day Free Trial