Computational Finance on the GPU
Computational Finance on the GPU
Computational Finance on the GPU
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Binomial Trees <strong>on</strong> <strong>the</strong> <strong>GPU</strong><br />
• Work backwards in time<br />
– Compute value at each<br />
node<br />
• Partiti<strong>on</strong> <strong>the</strong> work across<br />
<strong>the</strong> SMs<br />
– Overlap input data<br />
– Fit input partiti<strong>on</strong> in<br />
smem