CMU 15-418/618 (Spring 2013) Final Project:
Pricing American Asian Options with the Binomial Model
Daniel Lu (dylu), Da-Yoon Chung (dayoonc)

Project Proposal

Checkpoint Report

Final Report

Working Schedule

Week What We Plan To Do What We Actually Did
Apr 1-7Develop the proposalFinished the proposal
Apr 8-14Write and test a serial implementationSuccessfully wrote a serial implementation.
Apr 15-21Begin writing and testing a parallel implementationWrote global memory implementations
Apr 22-28Analyze our current results, and implement optimizationsAnalyzed global memory performance, implemented shared memory version
Apr 29-May 5Test using real world data, compare results and performance to existing alternativesAnalyzed results of both versions
May 6-11Write the final presentationAdded minor optimizations, wrote final presentation and report

Working Log

[Keep a log of work you have done here. You may wish to list optimizations you tried, what failed, etc. Or you can just rant. Keeping a good log will make it easy to put together your final writeup.]

We wrote a serial implementation which is very slow. We met and discussed how to decompose our existing code using CUDA and Thrust, and tried trivially parallelizing our code using OpenMP (unsuccessfully). Also, we discussed making our problem more interesting and practical by using data from previous stocks and running our algorithm to predict prices, and then seeing how the stocks actually turned out.