Efficient reconfigurable design for pricing asian options

Arithmetic Asian options are financial derivatives which have the feature of path-dependency: they depend on the entire price path of the underlying asset, rather than just the instantaneous price. This path-dependency makes them difficult to price, as only computationally intensive Monte-Carlo methods can provide accurate prices. This paper proposes an FPGA-accelerated Asian option pricing solution, using a highly-optimised parallel Monte-Carlo architecture. The proposed pipelined design is described parametrically, facilitating its re-use for different technologies. An implementation of this architecture in a Virtex-5 xc5vlx330t FPGA at 200MHz is 313 times faster than a multi-threaded software implementation running on a Intel Xeon E5420 quad-core CPU at 2.5GHz; it is also 2.2 times faster than the Tesla

• Type: Journal
• Year: 2010
• Where: SIGARCH
• Authors: Anson H. T. Tse, David B. Thomas, Kuen Hung Tsoi, Wayne Luk
• Keywords: Asian Option, Entire Price Path, Intensive Monte-carlo Methods, SIGARCH 2010