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Volume 17,     Number 4,     Winter 2009

 

A PARALLEL IMPLEMENTATION ON GPUS
OF ADI FINITE DIFFERENCE METHODS
FOR PARABOLIC PDES WITH APPLICATIONS
IN FINANCE
DUY MINH DANG, CHRISTINA C. CHRISTARA
AND KENNETH R. JACKSON

Abstract. We study a parallel implementation on a Graphics Processing Unit (GPU) of Alternating Direction Implicit (ADI) time-discretization methods for solving time-dependent parabolic Partial Differential Equations (PDEs) in three spatial dimensions with mixed spatial derivatives in a variety of applications in computational finance. Finite differences on uniform grids are used for the spatial discretization of the PDEs. As examples, we apply the GPU-based parallel methods to price European rainbow and European basket options, each written on three assets. Numerical results showing the efficiency of the parallel methods are provided.

 

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