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논문 기본 정보
- 자료유형
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- 한국산업응용수학회 JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS Journal of the Korean Society for Industrial and Applied Mathematics Vol.20 No.4
- 발행연도
- 2016.12
- 수록면
- 277 - 293 (17page)
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초록· 키워드
오류제보하기
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.
목차
ABSTRACT
1. INTRODUCTION
2. HYBRID DERIVATIVE LINKED SECURITIES
3. GPGPU COMPUTING WITH CUDA
4. NUMERICAL RESULTS
5. CONCLUSION
REFERENCES
참고문헌 (14)
참고문헌 신청
D. Fei / 2009 / A study on the efficiency of CUDA in calculation of SOPM
J.L. Fernandez / 2013 / Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs / Mathematics and Compuers in Simulation 94:55~75
KDB Daewoo Securities / 2011 / CD-EQUITY DUET 387th DLS Instruction
D. Brigo / 2006 / Interest rate models theory and practice with smile, inflation and credit / Springer
J.C. Hull / 1990 / Pricing interest rate derivative securities / Review of Financial Studies
J.L. Fernandez / 2013 / Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs / Mathematics and Compuers in Simulation 94:55~75
KDB Daewoo Securities / 2011 / CD-EQUITY DUET 387th DLS Instruction
D. Brigo / 2006 / Interest rate models theory and practice with smile, inflation and credit / Springer
J.C. Hull / 1990 / Pricing interest rate derivative securities / Review of Financial Studies
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UCI(KEPA) : I410-ECN-0101-2017-410-001907414