Journal of the Korean Society for Industrial and Applied Mathematics

Korean Society for Industrial and Applied Mathematics (한국산업응용수학회)
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A PRICING METHOD OF HYBRID DLS WITH GPGPU

  • Received : 2016.11.11
  • Accepted : 2016.11.30
  • Published : 2016.12.25
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Abstract

We develop an efficient numerical method for pricing the Derivative Linked Securities (DLS). The payoff structure of the hybrid DLS consists with a standard 2-Star step-down type ELS and the range accrual product which depends on the number of days in the coupon period that the index stay within the pre-determined range. We assume that the 2-dimensional Geometric Brownian Motion (GBM) as the model of two equities and a no-arbitrage interest model (One-factor Hull and White interest rate model) as a model for the interest rate. In this study, we employ the Monte Carlo simulation method with the Compute Unified Device Architecture (CUDA) parallel computing as the General Purpose computing on Graphic Processing Unit (GPGPU) technology for fast and efficient numerical valuation of DLS. Comparing the Monte Carlo method with single CPU computation or MPI implementation, the result of Monte Carlo simulation with CUDA parallel computing produces higher performance.

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References

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