Reconfigurable Control Variate Monte-Carlo Designs for Pricing Exotic Options
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}
}
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.
June 20, 2011 by hgpu
