Binomial Tree methods for European options using GPU

Binomial methods are versatile in pricing options for it is suitable for American, European, and Asian options. With an European call option with maturity t, strike price k, spot price S, volatility σ, risk-free rate r:

binom1.1

For put option, the last effective term shall be in the max function shall be:
binomput2

Stock’s increment, decrements, and probability to move up are given by the below respectively:

binom2

One of the CUDA samples from Nvidia is to implement the binomial model on GPU.

binom3

 

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