High dimensional pricing of exotic European contracts on a GPU Cluster, and comparison to a CPU cluster

The aim of this paper is the efficient use of CPU and GPU clusters for a general path-dependent exotic European pricing, and their comparison in terms of speed and energy consumption. To reach our goal, we propose a parallel random number generator which is well suited to the parallelization paradigm, then, we implement a multidimensional Asian contract as a benchmark using g++/OpenMP/OpenMPI on CPUs and CUDA-nvcc/OpenMPI on GPUs. Finally, we give the detailed results of the two architectures for different size problems using 1-16 GPUs and 1-256 dual-core CPUs.

1. Introduction and Objectives

Looking for the highest performant architecture, financial institutions spend considerable amounts of money in their Information Systems. The performance involved can be evaluated using various criteria such as the precision of the results obtained, the speed of simulation and the energy consumed by the machines during the simulation. The goal of this work is, on the one hand, to design and test a pricer for European Exotic contracts on GPU cluster which is effective even in very high dimension. On the other hand, it is to compare the performance of a cluster of 16 GPUs with a cluster of 256 dual-core CPUs.