15686

Monte-Carlo Black-Scholes Implementation using OpenCL Standard

Chirag Patel, M. Srikanth, Kalyani Chetan Kumar, S. Sivanantham
School of Electronics Engineering, VIT University, Vellore
Indian Journal of Science and Technology, Vol 8(36), 2015
@article{patel2015monte,

   title={Monte-Carlo Black-Scholes Implementation using OpenCL Standard},

   author={Patel, Chirag and Srikanth, M and Kumar, Kalyani Chetan and Sivanantham, S},

   journal={Indian Journal of Science and Technology},

   volume={8},

   number={36},

   year={2015}

}

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The OpenCL is a standard parallel language which is based on C language. It offers users to take full advantage and also provide the flexibility of high level language. In this paper, we explore the use of OpenCL language to implement the complex design on FPGAs by describing the design with high level abstraction language. To demonstrate, we consider the most important benchmarks in financial markets known as Monte-Carlo Black-Scholes implementation to estimate the stock price option.
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