Functional Option Pricing at FHPNC 2019
18 August 2019
Our extended abstract on A Functional Approach to Accelerating Monte Carlo based American Option Pricing, with Wojciech Pawlak and Cosmin Oancea, was accepted for presentation at FHPNC 2019 in Berlin on August 18.
We explore whether a complex numerical algorithm can be written with high-level functional building blocks and still run efficiently on a GPU. The example combines Monte Carlo simulation and regression to price American options. Its Futhark implementation achieves performance comparable to an expert CUDA implementation, demonstrating that a concise parallel formulation can be practical for demanding numerical work.