Implementation of an OpenCL pricer of american options pricer following the Cox-Ross-Rubinstein binomial model (CRR).
This project uses C++11 and CMake >= 3.1.
OpenCL must be installed on your computer.
mkdir build
cd build
cmake ..
make
Run the CPU Pricer with:
./cpu-pricer [ X0 ] [ K ] [ r ] [ sigma ] [ T ] [ N ]
Example:
./cpu-pricer 100 100 0.05 0.2 3 5000
Should return 8.71 approximately
You can run the GPU Pricer (using OpenCL) with:
./gpu-pricer [ X0 ] [ K ] [ r ] [ sigma ] [ T ] [ N ] [ work group size ]
Try with small value of work group size at first (between 1 and 10) to find the optimal one.
Do not forget to enable your graphic card. For laptop, use tools like optirun or primusrun:
optirun ./gpu-pricer [ X0 ] [ K ] [ r ] [ sigma ] [ T ] [ N ] [ work group size ]
Example:
optirun ./gpu-pricer 100 100 0.05 0.2 3 1000 1
optirun ./gpu-pricer 100 100 0.05 0.2 3 5000 5
optirun ./gpu-pricer 100 100 0.05 0.2 3 10000 10