Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
skip to main content
10.1145/2088256.2088261acmconferencesArticle/Chapter ViewAbstractPublication PagesscConference Proceedingsconference-collections
research-article

Algorithmic complexity in the heston model: an implementation view

Published: 13 November 2011 Publication History

Abstract

In this paper, we present an in-depth investigation of the algorithmic parameter influence for barrier option pricing with the Heston model. For that purpose we focus on single- and multi-level Monte Carlo simulation methods. We investigate the impact of algorithmic variations on simulation time and energy consumption, giving detailed measurement results for a state-of-the-art 8-core CPU server and a Nvidia Tesla C2050 GPU. We particularly show that a naive algorithm on a powerful GPU can even increase the energy consumption and computation time, compared to a better algorithm running on a standard CPU. Furthermore we give preliminary results of a dedicated FPGA implementation and comment on the speedup and energy saving potential of this architecture.

References

[1]
A. Bernemann, R. Schreyer, and K. Spanderen. Pricing Structured Equity Products on GPUs. In High Performance Computational Finance (WHPCF), 2010 IEEE Workshop on, pages 1 --7, Nov. 2010.
[2]
A. Bernemann, R. Schreyer, and K. Spanderen. Accelerating Exotic Option Pricing and Model Calibration Using GPUs, Feb. 2011.
[3]
M. Broadie, P. Glasserman, and S. Kou. A continuity correction for discrete barrier options. Math. Finance, 7(4):325--349, 1997.
[4]
C. de Schryver, M. Jung, N. Wehn, H. Marxen, A. Kostiuk, and R. Korn. Energy Efficient Acceleration and Evaluation of Financial Computations towards Real-Time Pricing. In A. König, A. Dengel, K. Hinkelmann, K. Kise, R. Howlett, and L. Jain, editors, Knowledge-Based and Intelligent Information and Engineering Systems, volume 6884 of Lecture Notes in Computer Science, pages 177--186. Springer Berlin / Heidelberg, 2011.
[5]
C. de Schryver, D. Schmidt, N. Wehn, E. Korn, H. Marxen, and R. Korn. A New Hardware Efficient Inversion Based Random Number Generator for Non-Uniform Distributions. In Reconfigurable Computing and FPGAs (ReConFig), 2010 International Conference on, pages 190--195, Dec. 2010.
[6]
M. B. Giles. Multilevel Monte Carlo path simulation. Operations Research-Baltimore, 56(3):607--617, 2008.
[7]
S. L. Heston. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. Review of Financial Studies, 6(2):327, 1993.
[8]
Q. Jin, W. Luk, and D. B. Thomas. On Comparing Financial Option Price Solvers on FPGA. In Field-Programmable Custom Computing Machines (FCCM), 2011 IEEE 19th Annual International Symposium on, pages 89--92, May 2011.
[9]
P. L'Ecuyer. Maximally Equidistributed Combined Tausworthe Generators. Mathematics Of Computation, 65(213):203--213, Jan. 1996.
[10]
R. Lord, R. Koekkoek, and D. van Dijk. A comparison of biased simulation schemes for stochastic volatility models. Quantitative Finance, 10(2):177--194, 2010.
[11]
NVIDIA corp. OpenCL SDK code samples. http://developer.nvidia.com/opencl-sdk-code-samples.
[12]
M. Saito. A Variant of Mersenne Twister Suitable for Graphic Processors. CoRR, abs/1005.4973, 2010.
[13]
B. Zhang and C. W. Oosterlee. Acceleration of Option Pricing Technique on Graphics Processing Units. Technical Report 10-03, Delft University of Technology, Feb. 2010.
[14]
J. Zhu. A Simple and Exact Simulation Approach to Heston Model. SSRN eLibrary, July 2008.

Cited By

View all
  • (2013)A multi-level Monte Carlo FPGA accelerator for option pricing in the Heston modelProceedings of the Conference on Design, Automation and Test in Europe10.5555/2485288.2485350(248-253)Online publication date: 18-Mar-2013

Recommendations

Comments

Information & Contributors

Information

Published In

cover image ACM Conferences
WHPCF '11: Proceedings of the fourth workshop on High performance computational finance
November 2011
54 pages
ISBN:9781450311083
DOI:10.1145/2088256
Permission to make digital or hard copies of all or part of this work for personal or classroom use is granted without fee provided that copies are not made or distributed for profit or commercial advantage and that copies bear this notice and the full citation on the first page. Copyrights for components of this work owned by others than ACM must be honored. Abstracting with credit is permitted. To copy otherwise, or republish, to post on servers or to redistribute to lists, requires prior specific permission and/or a fee. Request permissions from [email protected]

Sponsors

Publisher

Association for Computing Machinery

New York, NY, United States

Publication History

Published: 13 November 2011

Permissions

Request permissions for this article.

Check for updates

Author Tags

  1. GPU
  2. barrier
  3. energy
  4. heston
  5. monte carlo
  6. multi-level
  7. option pricing

Qualifiers

  • Research-article

Conference

SC '11
Sponsor:

Acceptance Rates

Overall Acceptance Rate 8 of 10 submissions, 80%

Upcoming Conference

Contributors

Other Metrics

Bibliometrics & Citations

Bibliometrics

Article Metrics

  • Downloads (Last 12 months)7
  • Downloads (Last 6 weeks)4
Reflects downloads up to 12 Jan 2025

Other Metrics

Citations

Cited By

View all
  • (2013)A multi-level Monte Carlo FPGA accelerator for option pricing in the Heston modelProceedings of the Conference on Design, Automation and Test in Europe10.5555/2485288.2485350(248-253)Online publication date: 18-Mar-2013

View Options

Login options

View options

PDF

View or Download as a PDF file.

PDF

eReader

View online with eReader.

eReader

Media

Figures

Other

Tables

Share

Share

Share this Publication link

Share on social media