cuda-samples/bin/x86_64/linux/release/APM_MC_SingleAsianOptionP.txt

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2023-03-01 09:41:29 +08:00
Monte Carlo Single Asian Option (with PRNG)
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Pricing option on GPU (NVIDIA H100 PCIe)
Precision: single
Number of sims: 100000
Spot | Strike | r | sigma | tenor | Call/Put | Value | Expected |
-----------|------------|------------|------------|------------|------------|------------|------------|
40 | 35 | 0.03 | 0.2 | 0.333333 | Call | 5.17083 | 5.16253 |
MonteCarloSingleAsianOptionP, Performance = 824402.28 sims/s, Time = 121.30(ms), NumDevsUsed = 1, Blocksize = 128