Computational Finance on the GPU
Computational Finance on the GPU
Computational Finance on the GPU
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M<strong>on</strong>te Carlo – Multiple Kernels<br />
RNG Paths Payoffs Reduce<br />
parfor [0..T)<br />
for [0..N)<br />
genrand()<br />
Samples<br />
parfor [0..N)<br />
for [0..T)<br />
genpath()<br />
Paths<br />
parfor [0..N)<br />
payoff()<br />
Payoffs<br />
for [0..lg 2N)<br />
reduce()
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