Accelerating Python for Exotic Option Pricing

Originally published at: https://developer.nvidia.com/blog/accelerating-python-for-exotic-option-pricing/

In finance, computation efficiency can be directly converted to trading profits sometimes. Quants are facing the challenges of trading off research efficiency with computation efficiency. Using Python can produce succinct research codes, which improves research efficiency. However, vanilla Python code is known to be slow and not suitable for production. In this post, I explore…