Parallel Approach to Monte Carlo Simulation for Option Price Sensitivities Using the Adjoint and Interval Analysis

Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 8385)

Abstract

This paper concerns a new approach to evaluation of Option Price sensitivities using the Monte Carlo simulation, based on the parallel GPU architecture and Automatic Differentiation methods. In order to study rounding errors, the interval arithmetic is used. Considerations are based on two implementations of the algorithm – the sequential and parallel ones. For efficient differentiation, the Adjoint method is employed. Computational experiments include analysis of performance, uncertainty error and rounding error and consider Black-Scholes and Heston models.

Keywords

Option pricing The greeks Automatic Differentiation The Adjoint Calibration Interval analysis CUDA 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2014

Authors and Affiliations

  • Grzegorz Kozikowski
    • 1
  • Bartłomiej Jacek Kubica
    • 2
  1. 1.School of Computer ScienceUniversity of ManchesterManchesterUK
  2. 2.Institute of Control and Computation EngineeringWarsaw University of TechnologyWarsawPoland

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