Monte Carlo Method for Stock Options Pricing Sample
Features / Description
This sample demonstrates implementation of the Monte Carlo simulation for the European stock option pricing. The algorithm is an OpenCL* kernel that unifies three major algorithm components:
- Mersenne twister - generation of uniformly distributed pseudorandom numbers
- Box-Muller transform - generation of normally distributed random numbers
- Option price calculation using Black-Scholes stock pricing model.
The exact Black-Scholes model is implemented as native code on the host for comparison with the results, generated with Monte Carlo.
Supported Devices: CPU, Intel(R) Xeon Phi(tm) coprocessor
Complexity Level: Intermediate
Refer to the Release Notes document for information on system requirements.
* OpenCL and the OpenCL logo are trademarks of Apple Inc. used by permission by Khronos.
This software is subject to the U.S. Export Administration Regulations and other U.S. law, and may not be exported or re-exported to certain countries (Burma, Cuba, Iran, Libya, North Korea, Sudan, and Syria) or to persons or entities prohibited from receiving U.S. exports (including Denied Parties, Specially Designated Nationals, and entities on the Bureau of Export Administration Entity List or involved with missile technology or nuclear, chemical or biological weapons).