关键词: GPU, 最小二乘蒙特卡罗算法（LSM）, 美式期权定价, 并行计算

Abstract:

An option is a trading contract in which financial products are exercised. With the rapid growth of options trading volume and trading volume, the calculation of option pricing is getting bigger and bigger, and it is more and more difficult to price options on traditional CPU platforms. The emergence and development of Graphics Processing Unit（GPU） platforms provides a solution to the option pricing calculation. Least Squares Monte Carlo（LSM） algorithm is used to calculate the pricing of one-dimensional and four-dimensional American options. First, the CURAND library is used to generate a large number of random numbers, and then the price change path of the option target is parallelized. Finally, the least squares method and discount pricing are parallelized. In addition, to improve the computational efficiency of the LSM method on the GPU platform, the entire process is optimized. The actual test results show that the acceleration ratios of the one-dimensional and four-dimensional American option pricing on the CPU+GPU are up to 20.275 and 47.538 respectively, and the overall performance of the methods of other literature has been greatly improved.

Key words: GPU, Least Squares Monte Carlo（LSM）, American option pricing, parallel computing