get_option_payoffs.cu File Reference

Option pricing code for model proposed by Christoffersen et al (2012, JFE) More...

#include "rng.c"

Go to the source code of this file.

Functions
__device__ double	get_payoff (double S, double K, int option_type)
	Compute payoff of option. More...
__device__ double	normal_pdf (double x, double mu, double sd)
__global__ void	get_option_payoffs (double *payoff_d, double *state_d, unsigned int *seed_d, const double *parms, const double *strike, const int *option_type, int noption, double T, int nsim)

Variables
const int	CALL = 0
const int	PUT = 1
const int	JMAX = 10
const double	SQRT2PI = 2.506628274631

Detailed Description

Option pricing code for model proposed by Christoffersen et al (2012, JFE)

Definition in file get_option_payoffs.cu.

Function Documentation

__global__ void get_option_payoffs	(	double *	payoff_d,
		double *	state_d,
		unsigned int *	seed_d,
		const double *	parms,
		const double *	strike,
		const int *	option_type,
		int	noption,
		double	T,
		int	nsim
	)

payoff_d, (out) simulated payoffs state_d, (in/out) Latent states (volatility and jump intensity) seed_d, (in/out) RNG seeds parms, (in) Model parameters strike, (in) Strike prices option_type, (in) 0=call, 1=put noption, (in) Number of options to be priced T, (in) Time to maturity nsim (in) Number of simulated paths to use

Definition at line 53 of file get_option_payoffs.cu.

__device__ double get_payoff	(	double	S,
		double	K,
		int	option_type
	)

Compute payoff of option.

Parameters

S	(in) stock price
K	(in) strike price
option_type	(in) Option types (0=call, 1=put)

Definition at line 14 of file get_option_payoffs.cu.

__device__ double normal_pdf	(	double	x,
		double	mu,
		double	sd
	)

Definition at line 30 of file get_option_payoffs.cu.

Variable Documentation

const int CALL = 0

Definition at line 6 of file get_option_payoffs.cu.

const int JMAX = 10

Definition at line 8 of file get_option_payoffs.cu.

const int PUT = 1

Definition at line 7 of file get_option_payoffs.cu.

const double SQRT2PI = 2.506628274631

Definition at line 9 of file get_option_payoffs.cu.