Pricing European options using Monte Carlo methods

European-style options are quite popular nowadays. Calculating their theo- retical price is not an easy task because there are many sources of uncertainty. However, we can model these uncertainties with random numbers. In this pa- per I discuss my implemention of two options-pricing programs using Monte Carlo methods, one for a CPU and the other for a GPU. I also optimize them to reduce their running time. Finally I compare the performance of those two programs.

Name thesis:degree_name

M.S.

Level thesis:degree_level

Thesis

Discipline thesis:degree_discipline

Computer Science

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2015

Author dc:creator

• Xu, Zhentao

• graphics processor unit (GPU)
• Reduction

Statement dc:rights

• Copyright 2015 Zhentao Xu

Language dc:language

en

Handle dc:identifier

http://hdl.handle.net/2142/78794

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/78794