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...

This paper examines the prediction performance using a principal component analysis (PCA). In particular, we perform a PCA to identify significant factors (principal components) and then use these factors to form predictions of stock price movements. We apply this strategy to the Chinese stock...