| 网格环境下期权定价BSDE模型的并行实现 |
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| 引用本文： | 刘辉,彭滢,龚斌,代斌,魏代政.网格环境下期权定价BSDE模型的并行实现[J].华中科技大学学报(自然科学版),2011,39(Z1):201-204. |
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| 作者姓名： | 刘辉 彭滢 龚斌 代斌 魏代政 |
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| 作者单位： | 山东大学计算机科学与技术学院,山东济南,250101 |
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| 基金项目： | 国家高技术研究发展计划资助项目(2006AA01A113); 国家重点基础研究发展计划资助项目(2007CB814906); 山东省科技发展计划资助项目(2009GG10001001) |
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| 摘 要： | 提出了一种在CNGrid网格服务环境下解决期权定价问题的并行应用方法.这种方法基于BSDE(backward stochastic differential equation)模型.根据异构计算资源的特点,使用CUDA和MPI分别在GPU计算节点和CPU计算节点上实现并行算法,比较不同编程在异构计算节点上的实现效率.通过监控计算节点上计算任务的负载状况,利用CNGrid所提供的计算服务,灵活地在异构计算节点上完成期权定价计算任务.
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| 关 键 词： | 网格 并行算法 消息传递接口 CUDA BSDE 期权定价 |
Parallel option pricing with BSDE model on grid environment |
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| Liu Hui,Peng Ying,Gong Bin,Dai Bin,Wei Daizheng.Parallel option pricing with BSDE model on grid environment[J].JOURNAL OF HUAZHONG UNIVERSITY OF SCIENCE AND TECHNOLOGY.NATURE SCIENCE,2011,39(Z1):201-204. |
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| Authors: | Liu Hui Peng Ying Gong Bin Dai Bin Wei Daizheng |
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| Institution: | Liu Hui Peng Ying Gong Bin Dai Bin Wei Daizheng(Department of Computer Science,Shandong University,Jinan 250101,China) |
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| Abstract: | A parallel application for option pricing in CNGrid was presented.The paralleling method was based on BSDE(backward stochastic differential equation) model.It can improve the accuracy and effectiveness of option pricing.According to the characteristics of the heterogeneous resources in CNGrid,CUDA(compute unified device architecture) and MPI(message passing interface) to implement the parallel algorithm on GPU and CPU nodes respectively.The performance of parallel algorithm on the CNGrid platform that suppo... |
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| Keywords: | grid parallel algorithm MPI(message passing interface) CUDA(compute unified device architecture) BSDE(backward stochastic differential equation) option pricing |
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