Optimization of American option pricing through GPU computing

Sammanfattning: Over the last decades the market for financial derivatives has grown dramatically to values of global importance. With the digital automation of the markets, programs able to efficiently value financial derivatives has become key to market competitiveness and thus garnered considerable interest. This report explores the potential efficiency gains of employing modern technology in GPU computing to price financial options, using the binomial option pricing model. The model is implemented using both CPU and GPU hardware and results compared in terms of computational efficiency. According to this thesis, GPU computing can considerably improve option pricing runtimes.