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14 lines
605 B
Plaintext
14 lines
605 B
Plaintext
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Monte Carlo Single Asian Option (with PRNG)
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Pricing option on GPU (NVIDIA H100 PCIe)
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Precision: single
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Number of sims: 100000
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Spot | Strike | r | sigma | tenor | Call/Put | Value | Expected |
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-----------|------------|------------|------------|------------|------------|------------|------------|
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40 | 35 | 0.03 | 0.2 | 0.333333 | Call | 5.17083 | 5.16253 |
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MonteCarloSingleAsianOptionP, Performance = 824402.28 sims/s, Time = 121.30(ms), NumDevsUsed = 1, Blocksize = 128
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