Efficient Asian option pricing with CUDA

In this paper the Monte Carlo methods of the Asian option pricing are considered. Among them are pricing method with path integral and partial differential equation. Simulation algorithms running on the CPU sequentially and algorithms running on the GPU in parallel using the CUDA technology were analyzed and compared.

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@inproceedings{yuzhanin2015asian,
  title={Efficient Asian option pricing with CUDA},
  author={Artur Yuzhanin and Ivan Gankevich and Eduard Stepanov and Vladimir Korkhov},
  booktitle={Proceedings of HPCS'15},
  year={2015},
  month={01},
  language={english},
  doi={10.1109/HPCSim.2015.7237103},
  pages={623--628},
  type={inproceedings}
}