In this paper, we apply GPU computation to an American option pricing problem via Monte Carlo (MC) simulations and particle swarm optimization (PSO). Given that computations in both MC and PSO can be vectorized and made independent, the valuation can be readily performed on GPUs. As a result, we...

The traditional futures hedge ratio (hT) is calculated ex post via economically structureless statistical analysis. Its lack of an economic foundation makes it inefficient and elevates its risk of error due to a regime shift. This paper proposes an ex ante, more efficient, carry cost rate (c)...