MC_SingleAsianOptionP - Monte Carlo Single Asian Option

Description

This sample uses Monte Carlo to simulate Single Asian Options using the NVIDIA CURAND library.

Key Concepts

Random Number Generator, Computational Finance, CURAND Library

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

cudaMemcpy, cudaGetErrorString, cudaFree, cudaSetDevice, cudaGetDeviceCount, cudaMalloc, cudaFuncGetAttributes, cudaGetDeviceProperties

Dependencies needed to build/run

CURAND

Prerequisites

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

References (for more details)