Reconfigurable Control Variate Monte-Carlo Designs for Pricing Exotic Options

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 MonteCarlo (CVMC) framework for pricing exotic options. An optimised implementation of arithmetic Asian option pricing under this framework in a Virtex-5 xc5vlx330t FPGA at 200MHz is 24 times faster than a multi-threaded software implementation on a Xeon E5420 at 2.5GHz; it is also 2.4 times faster than the Tesla

• Type: Journal
• Year: 2010
• Where: FPL
• Authors: Anson H. T. Tse, David B. Thomas, Kuen Hung Tsoi, Wayne Luk
• Keywords: Complex Features, Exotic Options, FPL 2010, Hardware, Intensive Monte-carlo Methods