sarnath

Binomial option pricing SDK

Discussion created by sarnath on Jun 1, 2009
Latest reply on Jun 1, 2009 by gaurav.garg
1kernel for each timestep??

I just downloaded the AMD streams SDK.

I see 2 things from the binomial option pricing SDK:

1. Kernels call other kernels inside. This is interesting. And the user-guide too says its possible. Just great!

2. There is a separate GPU kernel for different time-steps(4,8,12 etc.). This is just ridiculous. Are not there better way to do this binomial thing on ATI?

3. More time-steps usually result in correct results and are desirable. 200 time-steps is normal. Even 1000 time-steps would be good ( though I dont have practical knowledge on how bankers use it). More time-steps make this discrete tree close to a continuous model like black scholes and will yield correct results. So, if I were to run option pricing for different time-steps, will I need to write kernels aftr kernels??? There must b a better way guys....

We have developed option pricing models using CUDA and it is just a breeze. The SDK sample is just plain discouraging. A better one would be good!

 

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