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Exploring reconfigurable architectures for explicit finite difference option pricing models

Qiwei Jin, David B. Thomas, Wayne Luk
Department of Computing, Imperial College London, United Kingdom, London, UK
International Conference on Field Programmable Logic and Applications, 2009. FPL 2009

@inproceedings{jin2009exploring,

   title={Exploring reconfigurable architectures for explicit finite difference option pricing models},

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

   booktitle={Field Programmable Logic and Applications, 2009. FPL 2009. International Conference on},

   pages={73–78},

   year={2009},

   organization={IEEE}

}

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This paper explores the application of reconfigurable hardware and graphics processing units (GPUs) to the acceleration of financial computation using the finite difference (FD) method. A parallel pipelined architecture has been developed to support concurrent valuation of independent options with high pricing throughput. Our FPGA implementation running at 106 MHz on an xc4vlx160 device demonstrates a speed up of 12 times over a Pentium 4 processor at 3.6 GHz in single-precision arithmetic; while the FPGA is 3.6 times slower than a Tesla C1060 240-Core GPU at 1.3 GHz, it is 9 times more energy efficient.
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