Backward stochastic differential equation (BSDE)-based option pricing method and device

A technology of options and prices, applied in the field of option pricing methods and devices based on reverse stochastic differential equations, can solve problems such as long execution cycles

Inactive Publication Date: 2013-02-13
INSPUR BEIJING ELECTRONICS INFORMATION IND
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Problems solved by technology

[0016] The present invention provides a kind of option pricing method, to overcome the defect

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  • Backward stochastic differential equation (BSDE)-based option pricing method and device
  • Backward stochastic differential equation (BSDE)-based option pricing method and device
  • Backward stochastic differential equation (BSDE)-based option pricing method and device

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[0055] In order to make the purpose, technical solution and advantages of the present invention more clear, the embodiments of the present invention will be described in detail below in conjunction with the accompanying drawings. It should be noted that, in the case of no conflict, the embodiments in the present application and the features in the embodiments can be combined arbitrarily with each other.

[0056] The present invention firstly analyzes the defects of option pricing with BSDE method and adopts BSDE method and option pricing serial method based on isosceles triangle model to solve the performance bottleneck of option pricing problem, finds time-consuming hot codes, and tests its performance in the whole option pricing process. The proportion of time taken up in the process and the difficulty of analyzing the performance of improving the overall method and developing the shaft end.

[0057] Analysis and research show that when using the BSDE method and the option p...

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Abstract

The invention provides a backward stochastic differential equation (BSDE)-based option pricing method and a BSDE-based option pricing device. The option pricing method comprises the following steps of: acquiring a spatial discrete grid and an isosceles triangle model which are constructed by a central processing unit (CPU) terminal by a many integrated core (MIC) processor and acquiring a terminal condition according to the spatial discrete grid; and performing Monte Carlo simulation on each spatial grid point on each time layer between adjacent time layers according to the terminal condition by the MIC processor, performing backward induction on all time layers one by one by using the isosceles triangle model, and finally calculating to obtain the mathematical expectation of the option price. According to the BSDE-based option pricing method and the BSDE-based option pricing device, the operation of the option pricing can be accelerated easily and greatly in a short cycle by a BSDE mode and concurrent computation capacity of the MIC processor.

Description

technical field [0001] The present invention relates to an option pricing method, in particular to an option pricing method and device based on a backward stochastic differential equation (Backward Stochastic Differential Equation, BSDE). Background technique [0002] The many-core (Many Integrated Core, MIC) processor launched by Intel (Intel), compared with the general-purpose multi-core Xeon processor, the MIC many-core architecture has smaller cores and hardware threads, and the computing resource density of the many-core processor is Higher, significantly reduced on-chip communication overhead, more transistors and energy, capable of more complex parallel applications. Intel MIC products are based on the X86 architecture, based on heavy-core many-core processors, including more than 50 cores, and a vector bit width of 512bit, and the double-precision performance exceeds 1TFlops. [0003] MIC has an extremely flexible programming method, and the MIC card can exist as a ...

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Application Information

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IPC IPC(8): G06Q40/04G06F17/13G06F9/38
Inventor 卢晓伟张清
Owner INSPUR BEIJING ELECTRONICS INFORMATION IND
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