Unifying Finite Difference Option-pricing for Hardware Acceleration

Provided by: Imperial College London
Topic: Hardware
Format: PDF
Explicit finite difference method is widely used in finance for pricing many kinds of options. Its regular computational pattern makes it an ideal candidate for acceleration using reconfigurable hardware. However, because the corresponding hardware designs must be optimized both for the specific option and for the target platform, it is challenging and time consuming to develop designs efficiently and productively. This paper presents a unifying framework for describing and automatically implementing financial explicit finite difference procedures in reconfigurable hardware, allowing parallelized and pipelined implementations to be created from high-level mathematical expressions.

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