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Reconfigurable Control Variate Monte-Carlo Designs for Pricing Exotic Options

Anson H.T. Tse, David B. Thomas, K.H. Tsoi, Wayne Luk
Department of Computing, Imperial College London, United Kingdom
International Conference on Field Programmable Logic and Applications (FPL), 2010

@inproceedings{tse2010reconfigurable,

   title={Reconfigurable Control Variate Monte-Carlo Designs for Pricing Exotic Options},

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

   booktitle={2010 International Conference on Field Programmable Logic and Applications},

   pages={364–367},

   year={2010},

   organization={IEEE}

}

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Exotic options are financial derivatives which have complex features including path-dependency. These complex features make them difficult to price, as only computationally intensive Monte-Carlo methods can provide accurate prices. This paper proposes an FPGA-accelerated control variate Monte-Carlo (CVMC) framework for pricing exotic options. An optimised implementation of arithmetic Asian option pricing under this framework in a Virtex-5 xc5vlx330t FPGA at 200 MHz is 24 times faster than a multi-threaded software implementation on a Xeon E5420 at 2.5 GHz; it is also 2.4 times faster than the Tesla C1060 GPU at 1.3 GHz.
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