Quantlib port for pricing on GPU

[om.anand77]

I came across a few old post mentioning quantlib port to run on CUDA.

I am mainly interested in pricing of Equity Options.

There seem to be a couple of open source projects utilizing quantlib that are cuda enabled. However they use basic pricing models. Dividend for most part is not supported and neither are american options.

It would be helpful to get your answers in this regard.

[Luigi Ballabio]

I don't know what it provides, but did you try looking at Mark Joshi's kooderive? (Not QuantLib-based, as far as I know.)

Luigi

On Sun, Mar 13, 2016 at 5:55 AM om.anand77 <[hidden email]> wrote:

I came across a few old post mentioning quantlib port to run on CUDA.

I am mainly interested in pricing of Equity Options.

There seem to be a couple of open source projects utilizing quantlib that
are cuda enabled. However they use basic pricing models. Dividend for most
part is not supported and neither are american options.

It would be helpful to get your answers in this regard.




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