The Research of Improved Crank Nicolson Algorithm with B-S Model Based on GPU
WU Chun-xue · Journal of the University of Shanghai for Science and Technology · 2013
Based on the analysis of the famous Black-Scholes(B-S) model,the Crank-Nicolson algorithm was optimized in accordance with the theoretical and numerical analysis resuls.A new way to improve the efficientey and effective ness of actual options tradings was created.By using the GPU as a computing platform,and combining with the CUDA technology,the validity and applicability of the improved algorithm were verified.By doing horizontal test on CPU platform the running environmental advantages of GPV platform were verified.The experiments show that the improved algorithm running on GPU platform can get significant effecs.The operation precision and computational efficiency can be greatly improved.