Accelerated Root Finding for Computational Finance
نویسنده
چکیده
A parallel implementation of root finding on an SIMD application accelerator is reported. These are roots of stochastic differential equations in the computational finance domain which require a stochastic simulation to be performed for each evaluation of the pricing function. Experiments show that a speedup of 15X can be achieved over using a stand-alone CPU processor, depending on the required accuracy, and the numerical method employed. Keywords-high performance computing; SIMD computer architecture; numerical methods; valuation; financial derivatives
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تاریخ انتشار 2009