Referenced Items are not available for this document.
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.
Published in:
Field Programmable Logic and Applications (FPL), 2010 International Conference on
Date of Conference: Aug. 31 2010-Sept. 2 2010
- Page(s):
- 364 - 367
- ISSN :
- 1946-1488
- Print ISBN:
- 978-1-4244-7842-2
- INSPEC Accession Number:
- 11770391
- Conference Location :
- Milano
- Digital Object Identifier :
- 10.1109/FPL.2010.46
- Product Type:
- Conference Publications
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