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39 lines
2.0 KiB
Markdown
39 lines
2.0 KiB
Markdown
# MonteCarloMultiGPU - Monte Carlo Option Pricing with Multi-GPU support
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## Description
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This sample evaluates fair call price for a given set of European options using the Monte Carlo approach, taking advantage of all CUDA-capable GPUs installed in the system. This sample use double precision hardware if a GTX 200 class GPU is present. The sample also takes advantage of CUDA 4.0 capability to supporting using a single CPU thread to control multiple GPUs
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## Key Concepts
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Random Number Generator, Computational Finance, CURAND Library
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## Supported SM Architectures
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[SM 5.0 ](https://developer.nvidia.com/cuda-gpus) [SM 5.2 ](https://developer.nvidia.com/cuda-gpus) [SM 5.3 ](https://developer.nvidia.com/cuda-gpus) [SM 6.0 ](https://developer.nvidia.com/cuda-gpus) [SM 6.1 ](https://developer.nvidia.com/cuda-gpus) [SM 7.0 ](https://developer.nvidia.com/cuda-gpus) [SM 7.2 ](https://developer.nvidia.com/cuda-gpus) [SM 7.5 ](https://developer.nvidia.com/cuda-gpus) [SM 8.0 ](https://developer.nvidia.com/cuda-gpus) [SM 8.6 ](https://developer.nvidia.com/cuda-gpus) [SM 8.7 ](https://developer.nvidia.com/cuda-gpus) [SM 8.9 ](https://developer.nvidia.com/cuda-gpus) [SM 9.0 ](https://developer.nvidia.com/cuda-gpus)
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## Supported OSes
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Linux, Windows
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## Supported CPU Architecture
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x86_64, armv7l
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## CUDA APIs involved
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### [CUDA Runtime API](http://docs.nvidia.com/cuda/cuda-runtime-api/index.html)
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cudaStreamDestroy, cudaMalloc, cudaFree, cudaMallocHost, cudaSetDevice, cudaEventSynchronize, cudaGetDeviceProperties, cudaDeviceSynchronize, cudaEventRecord, cudaFreeHost, cudaMemset, cudaStreamSynchronize, cudaEventDestroy, cudaMemcpyAsync, cudaStreamCreate, cudaGetDeviceCount, cudaEventCreate
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## Dependencies needed to build/run
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[CURAND](../../../README.md#curand)
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## Prerequisites
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Download and install the [CUDA Toolkit 12.5](https://developer.nvidia.com/cuda-downloads) for your corresponding platform.
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Make sure the dependencies mentioned in [Dependencies]() section above are installed.
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## References (for more details)
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[whitepaper](./doc/MonteCarlo.pdf)
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