A Parallel Implementation on GPUs of ADI Finite Difference Methods for Parabolic PDEs with Applications in Finance

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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Year of publication:	2011
Authors:	Dang, Duy-Minh
Other Persons:	Christara, Christina (contributor) ; Jackson, Kenneth R. (contributor)
Publisher:	[2011]: [S.l.] : SSRN

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