Options Pricing calculator Library in C++ and CUDA
The goal of this project was to write a fast and reliable library to compute the price of different Options built on stochastic-simulated stock paths, leveraging the computational power of GPUs and CUDA
Main points:
- Developed a CUDA-based library for GPU-accelerated Monte Carlo simulations, achieving over 30× faster option pricing analyses for both vanilla and exotic options compared to CPU benchmarks.
- Leverage CUDA programming and financial modeling, ensuring rapid and accurate option valuation in high-performance computing settings.