| 基于GPU的B-S模型下改进的Crank Nicolson算法 |
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| 引用本文： | 王文浩,邬春学.基于GPU的B-S模型下改进的Crank Nicolson算法[J].上海理工大学学报,2013,35(2):147-151,156. |
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| 作者姓名： | 王文浩 邬春学 |
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| 作者单位： | 上海理工大学 光电信息与计算机工程学院,上海200093;上海理工大学 光电信息与计算机工程学院,上海200093 |
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| 摘 要： | 针对Black-Scholes模型及其公式特点进行了理论分析与数学处理,给出了优化的Crank-Nicolson算法,提高了实际期权交易效率.通过使用GPU作为计算平台,结合CUDA架构技术,验证改进后算法的有效性和适用性.在CPU平台下进行横向测试,验证GPU平台运行环境优势.实验表明,改进后的算法在GPU平台下运行所提升的效果显著,运算精度和效率得到提高.
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| 关 键 词： | 金融期权计算 B-S模型 改进的C-N算法 GPU CUDA构架 HPC |
The Research of Improved Crank Nicolson Algorithm with B-S Model Based on GPU |
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| WANG Wenhao and WU Chunxue.The Research of Improved Crank Nicolson Algorithm with B-S Model Based on GPU[J].Journal of University of Shanghai For Science and Technology,2013,35(2):147-151,156. |
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| Authors: | WANG Wenhao and WU Chunxue |
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| Institution: | (School of Optical-Electrical and Computer Engineering,University of Shanghai for Science and Technology,Shanghai 200093,China) |
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| Abstract: | Based on the analysis of the famous Black-Scholes (B-S) model,the Crank-Nicolson algorithm was optimized in accordance with the theoretical and numerical analysis resuls.A new way to improve the efficientey and effective ness of actual options tradings was created.By using the GPU as a computing platform,and combining with the CUDA technology,the validity and applicability of the improved algorithm were verified.By doing horizontal test on CPU platform the running environmental advantages of GPV platform were verified.The experiments show that the improved algorithm running on GPU platform can get significant effecs.The operation precision and computational efficiency can be greatly improved. |
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| Keywords: | financial option calculation B-S model improved C-N algorithm graphic processing unit compute unified device architecture (CUDA) high performance computing |
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