https://github.com/aurelienperez/gpu-heston-monte-carlo
GPU-accelerated Monte Carlo simulation for option pricing under the Heston model using CUDA.
https://github.com/aurelienperez/gpu-heston-monte-carlo
cuda gpu heston-model
Last synced: about 1 year ago
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GPU-accelerated Monte Carlo simulation for option pricing under the Heston model using CUDA.
- Host: GitHub
- URL: https://github.com/aurelienperez/gpu-heston-monte-carlo
- Owner: aurelienperez
- License: mit
- Created: 2025-03-31T19:59:37.000Z (about 1 year ago)
- Default Branch: main
- Last Pushed: 2025-03-31T20:11:15.000Z (about 1 year ago)
- Last Synced: 2025-03-31T21:22:10.679Z (about 1 year ago)
- Topics: cuda, gpu, heston-model
- Language: Cuda
- Homepage:
- Size: 1.09 MB
- Stars: 0
- Watchers: 1
- Forks: 0
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE
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README
# GPU-Accelerated Monte Carlo Simulation of the Heston Model
This repository provides a GPU-accelerated implementation of Monte Carlo methods for pricing European options under the **Heston stochastic volatility model**, developed as part of the Master's course *"Massive Parallel Programming on GPU Devices for Big Data"* from the Probabilités et Finance Master's program at Sorbonne Université.
## Project Overview
The project includes implementations of three discretisation schemes:
- **Euler** scheme
- **Exact scheme** (Broadie-Kaya)
- **Almost Exact scheme** (Haastrecht-Pelsser)
Each scheme leverages **CUDA** for high-performance parallel computations. Trajectories are simulated independently at thread-level, with efficient shared-memory reductions performed at the block level.
## Repository Content
`heston.cu`: CUDA source code for the simulation.
`heston_gpu.pdf`: Project presentation slides.
## Acknowledgements
This implementation was inspired by the CUDA examples and materials provided by **Lokman Abbas-Turki** as part of the course *"Massive Parallel Programming on GPU Devices for Big Data"*.