удк 004.5 использование графического процессора для

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USING GPU FOR ACCELERATING EVALUATION OF THEORETICAL PRICE OF THE
OPTION CREDIT DERIVATIVE
Ovechkin R. M.
Penza State University, Penza, Russia (440027, Penza, Krasnaya st., 40), email:[email protected]
In the article the new approach has represented for accelerating of calculations based on using graphical
processing unit which may be applied for approximate evaluating the one of the most significant analitical
parameters - theoretical price of derivative financial product – Option integrated into decission support system
in context of credit derivatives trading. Given comparative characteristics of performance of server CPU versus
the performance of GPU as well as memory interacting process, the evolution of both types of devices is
illustrated. describes method of using technology CUDA by Nvidia corporation which allows to create hi-level
programs and run them on GPU. Explained the method of adaptation for complex algorithms for execution.
Key words: graphical processor unit, GPU, CUDA, performance acceleration.
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