Reduction of Computing Time for Numerical Pricing of European Multi-dimensional Options based on the COS Method

Master thesis (2016)

Authors

Contributors

C.W. Oosterlee (mentor)
Programme
Computational Finance (EEMCS) (TU Delft)
Copyright: © 2016 Hazenoot, D.
CUDA GPU computing Option pricing COS method Fast Fourier Transform C European options Multi-dimensional options Fourier-cosine series Fourier-cosine expansion Discrete cosine transform CPU computing
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Published Date

15-01-2016

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Programme

Computational Finance

Abstract

Numerical integration methods such as the Fourier-based COS method can be used for effciently and accurately pricing financial products. The COS method can be applied to options on one underlying stock as well as on multiple underlying stocks. However, this method suffers from an exponential increase in computational complexity as the dimensions increase. In this thesis we research how to reduce the computational time, especially for multi-dimensional options. Firstly, we discuss the COS method. Secondly, we program this method in three different languages, namely MATLAB, C and CUDA. Thirdly, we perform numerical tests: MATLAB- and C-code on a CPU and CUDA-code on a GPU. Lastly, we compare some options for the different computing times of these codes.