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Title:Pricing European options using Monte Carlo methods
Author(s):Xu, Zhentao
Department / Program:Computer Science
Discipline:Computer Science
Degree Granting Institution:University of Illinois at Urbana-Champaign
Degree:M.S.
Genre:Thesis
Subject(s):graphics processor unit (GPU)
Reduction
Abstract: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.
Issue Date:2015-04-29
Type:Thesis
URI:http://hdl.handle.net/2142/78794
Rights Information:Copyright 2015 Zhentao Xu
Date Available in IDEALS:2015-07-22
Date Deposited:May 2015


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