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Exploring Reconfigurable Architectures for Tree-Based Option Pricing Models

Qiwei Jin, David B. Thomas, Wayne Luk, Benjamin Cope
Imperial College London
ACM Trans. Reconfigurable Technol. Syst., Vol. 2, No. 4. (2009), pp. 1-17

@article{jin2009exploring,

   title={Exploring Reconfigurable Architectures for Tree-Based Option Pricing Models},

   author={Jin, Q. and Thomas, D.B. and Luk, W. and Cope, B.},

   journal={ACM Transactions on Reconfigurable Technology and Systems (TRETS)},

   volume={2},

   number={4},

   pages={21},

   issn={1936-7406},

   year={2009},

   publisher={ACM}

}

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This article explores the application of reconfigurable hardware to the acceleration of financial computation using tree-based pricing models. Two parallel pipelined architectures have been developed for option valuation using binomial trees and trinomial trees, with support for concurrent evaluation of independent options to achieve high pricing throughput. Our results show that the tree-based models executing on a Virtex 4 field programmable gate array (FPGA) at 82.7 MHz with fixed-point arithmetic can run over 160 times faster than a Core2 Duo processor at 2.2 GHz. The FPGA implementation is two times faster than the nVidia Geforce 7900GTX processor with 24 pipelines at 650 MHz, and 27%-35% slower than the nVidia Geforce 8600GTS processor with 32 Pipelines at 1450 MHz. Our preliminary experiments also indicate that while an FPGA implementation can be slower than a GPU, it could be more efficient when power consumption is taken into account.
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