@InProceedings{Supelec503,
author = {Lokman Abbas-Turki and Stephane Vialle and Bernard Lapeyre and Patrick Mercier},
title = {{High Dimensional Pricing of Exotic European Contracts on a GPU Cluster, and Comparison to a CPU Cluster}},
year = {2009},
booktitle = {{Second International Workshop on Parallel and Distributed Computing in Finance (PDCoF 2009)}},
pages = {8 pages},
month = {May 29},
address = {Rome, Italy},
url = {http://www.metz.supelec.fr/metz/recherche/publis_pdf/Supelec503.pdf},
isbn = {978-1-4244-3750-4},
abstract = {The aim of this paper is the efficient use of CPU and GPU clusters for a general path-dependent exotic European pricing, and their comparison in terms of speed and energy consumption. To reach our goal, we propose a parallel random number generator which is well suited to the parallelization paradigm, then, we implement a multidimensional Asian contract as a benchmark using g++/OpenMP/OpenMPI on CPUs and CUDA-nvcc/OpenMPI on GPUs. Finally, we give the detailed results of the two architectures for different size problems using 1-16 GPUs and 1-256 dual-core CPUs.}
}