Please use this identifier to cite or link to this item: http://dspace.iitrpr.ac.in:8080/xmlui/handle/123456789/2097
Title: Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU
Authors: Ghosh, A.
Mishra, C.
Keywords: Bates model
Method-of-lines
Alternating direction implicit schemes
Parallel cyclic reduction
GPU computing
Issue Date: 17-Jul-2021
Abstract: In this paper we investigate faster and memory efficient parallel techniques to numerically solve the Bates model for European options. We have followed method-of-lines approach and implemented the numerical algorithms on a graphics processing unit (GPU). Two second order finite difference (FD) schemes are taken into account that yield discretization matrices with tridiagonal and pentadiagonal block structures. Three recent adaptations of an alternating direction implicit scheme are employed for time-stepping. Spatial and temporal errors corresponding to our chosen FD and time-stepping schemes are numerically studied. For parallel computation of solutions we have applied the well-know parallel cyclic reduction (PCR) algorithm for tridiagonal systems and our novel PCR algorithm for pentadiagonal systems. Ample numerical experiments are performed to study speed and accuracy on three platforms: single GPU using CUDA, multi-core CPU using OpenMP and an efficient sequential algorithm on a single core using MATLAB, where substantial speedup is observed on the GPU. Sensitivities of computational times of the sequential algorithm in MATLAB with respect to certain parameters in the Bates model are also analysed.
URI: http://localhost:8080/xmlui/handle/123456789/2097
Appears in Collections:Year-2021

Files in This Item:
File Description SizeFormat 
Fulltext.pdf846.49 kBAdobe PDFView/Open    Request a copy


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.