On Comparing Financial Option Price Solvers on FPGA

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Provided by: Institute of Electrical & Electronic Engineers
Topic: Hardware
Format: PDF
A number of different numerical methods for accelerating financial option pricing using FPGAs have recently been investigated, such as monte-carlo, finite-difference, quadrature, and binomial trees. However, these papers only compare the acceleration of each method against the same method in software, and do not consider a more important practical question, which is to identify the method that provides the best FPGA performance for a given option pricing application, regardless of raw speed-up over the software.
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