2539

Accelerating Quadrature Methods for Option Valuation

Anson H. T. Tse, David B. Thomas, Wayne Luk
Department of Computing, Imperial College London, London, England
17th IEEE Symposium on Field Programmable Custom Computing Machines, 2009. FCCM ’09, p.29-36

@conference{tse2009accelerating,

   title={Accelerating quadrature methods for option valuation},

   author={Tse, A.H.T. and Thomas, D.B. and Luk, W.},

   booktitle={Field Programmable Custom Computing Machines, 2009. FCCM’09. 17th IEEE Symposium on},

   pages={29–36},

   year={2009},

   organization={IEEE}

}

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This paper presents an architecture for FPGA acceleration of quadrature methods used for pricing complex options, such as discrete barrier, Bermudan, and American options. The architecture can be optimized for speed and power consumption by exploiting pipelining and parallelism to produce efficient implementations in reconfigurable logic. An optimised implementation using Graphics Processing Units (GPUs) is also developed, to provide a performance and efficiency comparison with an FPGA accelerator. Our 100 MHz FPGA implementation demonstrates a 32.8 times speedup over a software implementation running on a Pentium 4 3.6 GHz processor, and is 8.3 times more power efficient than a Tesla C1060 GPU with 240 processors at 1.3 GHz.
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