cuda-samples/Samples/5_Domain_Specific/BlackScholes

BlackScholes - Black-Scholes Option Pricing

Description

This sample evaluates fair call and put prices for a given set of European options by Black-Scholes formula.

Key Concepts

Computational Finance

Supported SM Architectures

SM 5.0 SM 5.2 SM 5.3 SM 6.0 SM 6.1 SM 7.0 SM 7.2 SM 7.5 SM 8.0 SM 8.6 SM 8.7 SM 8.9 SM 9.0

Supported OSes

Linux, Windows

Supported CPU Architecture

x86_64, armv7l

CUDA APIs involved

CUDA Runtime API

cudaMalloc, cudaDeviceSynchronize, cudaMemcpy, cudaFree

Prerequisites

Download and install the CUDA Toolkit 12.5 for your corresponding platform.

References (for more details)

whitepaper