This sample evaluates fair call and put prices for a given set of European options by Black-Scholes formula, compiling the CUDA kernels involved at runtime using NVRTC.

Key Concepts

Computational Finance, Runtime Compilation

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, QNX

Supported CPU Architecture

x86_64, aarch64

CUDA APIs involved

CUDA Driver API

cuMemcpyDtoH, cuLaunchKernel, cuMemcpyHtoD, cuCtxSynchronize, cuMemAlloc, cuMemFree, cuModuleGetFunction

CUDA Runtime API

cudaBlockSize, cudaGridSize

Dependencies needed to build/run

NVRTC

Prerequisites

Download and install the CUDA Toolkit 12.5 for your corresponding platform. Make sure the dependencies mentioned in Dependencies section above are installed.

README.md

BlackScholes_nvrtc - Black-Scholes Option Pricing with libNVRTC

Description