Option pricing with BSDE and Monte Carlo method

Introdution

This project is to implement Parallel Option Pricing with BSDE Method on GPU and analyze its performance. More mathematical background can be found in Backward Stochastic Differential Equations in Finance.

cmake .
make all

Name		Name	Last commit message	Last commit date
Latest commit History 38 Commits
baseline		baseline
cuda		cuda
multigpu		multigpu
omp		omp
test		test
.gitattributes		.gitattributes
.gitignore		.gitignore
CMakeLists.txt		CMakeLists.txt
LICENSE		LICENSE
README.md		README.md
bsde.sln		bsde.sln
test_baseline.sh		test_baseline.sh
test_cuda.sh		test_cuda.sh
test_multigpu.sh		test_multigpu.sh
test_omp.sh		test_omp.sh