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What is GPU-Based Options Pricing Project about?
This document describes a final year project to develop a graphical computing based parallel options pricing program (GCPOP) using GPU computing. The project aims to price American and European options using parallel computational methods like Monte Carlo simulations, finite element method, finite difference method, and binomial method implemented on a GPU architecture like CUDA to achieve at least a 10x speedup over CPU implementations. The document outlines the objectives, design strategy, hardware requir
- Author
- Udara Perera
- Language
- EN