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A mixed precision Monte Carlo methodology for reconfigurable accelerator systems

Gary Chun Tak Chow, Anson Hong Tak Tse, Qiwei Jin, Wayne Luk, Philip H.W. Leong, David B. Thomas
2012 Proceedings of the ACM/SIGDA international symposium on Field Programmable Gate Arrays - FPGA '12  
Our methodology also produces designs for pricing Asian options which are 4.6 times faster and 5.5 times more energy efficient than NVIDIA Tesla C2070 GPU implementations.  ...  Experiments show that the proposed mixed precision methodology requires up to 11 % additional evaluations while less than 4 % of all the evaluations are computed in the reference precision; the resulting  ...  Figure 8 : 8 Results of Asian option pricing versus different number of significand bits.  ... 
doi:10.1145/2145694.2145705 dblp:conf/fpga/ChowTJLLT12 fatcat:6q2yu5jdrrfgzouqgtkq2c7etq

Reconfigurable Control Variate Monte-Carlo Designs for Pricing Exotic Options

Anson H.T. Tse, David B. Thomas, K.H. Tsoi, Wayne Luk
2010 2010 International Conference on Field Programmable Logic and Applications  
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  ...  This paper proposes an FPGA-accelerated control variate Monte-Carlo (CVMC) framework for pricing exotic options.  ...  ACKNOWLEDGMENT The support of the Croucher Foundation, UK EPSRC, AlphaData, HiPEAC network of Excellence and Xilinx is gratefully acknowledged.  ... 
doi:10.1109/fpl.2010.46 dblp:conf/fpl/TseTTL10 fatcat:6denhkw5bff7bhyksynaiijsqm

Efficient reconfigurable design for pricing asian options

Anson H.T. Tse, David B. Thomas, K. H. Tsoi, Wayne Luk
2011 SIGARCH Computer Architecture News  
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 paper proposes an FPGA-accelerated Asian option pricing solution, using a highly-optimised parallel Monte-Carlo architecture.  ...  The support of Imperial College London Research Excellence Award, UK Engineering and Physical Sciences Research Council, Alpha Data, nVidia, and Xilinx is gratefully acknowledged.  ... 
doi:10.1145/1926367.1926371 fatcat:i6s2jrkt25extcaqop6umccuu4

FPGA acceleration using high-level languages of a Monte-Carlo method for pricing complex options

Diego Sanchez-Roman, Victor Moreno, Sergio Lopez-Buedo, Gustavo Sutter, Ivan Gonzalez, Francisco J. Gomez-Arribas, Javier Aracil
2013 Journal of systems architecture  
In this paper we present an FPGA implementation of a Monte-Carlo method for pricing Asian Options using Impulse C and floating-point arithmetic.  ...  Additionally, the use of a HLL-based methodology allowed us to implement a highquality gaussian random number generator, which produces more precise results than those obtained with the simple generators  ...  Conclusions We have implemented a Monte-Carlo method for pricing Asian Options in FPGAs using floating-point arithmetic and Impulse C.  ... 
doi:10.1016/j.sysarc.2013.01.004 fatcat:ovq5d432mfb75budx4qu6eq2bm

Pricing Asian Options: a Comparison of Numerical and Simulation Approaches, Twenty Years Later

Akos Horvath
2016 Social Science Research Network  
We look into whether today's superior computer environment has changed the relative strength of numerical and simulation approaches with regards to Asian option pricing.  ...  One possibility is the usage of simulation approaches, which however are especially inefficient for Asian options, due to their dependence on the entire stock price trajectory.  ...  high, then the precise Asian option value can be calculated even for small values of 2 T σ (given enough computation time).  ... 
doi:10.2139/ssrn.2810722 fatcat:wujiizp7gzbdxjjjlyf6idrbay

Pricing Asian Options: A Comparison of Numerical and Simulation Approaches Twenty Years Later

Akos Horvath, Peter Medvegyev
2016 Journal of Mathematical Finance  
We look into whether today's superior computer environment has changed the relative strength of numerical and simulation approaches with regards to Asian option pricing.  ...  One possibility is the usage of simulation approaches, which however are especially inefficient for Asian options, due to their dependence on the entire stock price trajectory.  ...  high, then the precise Asian option value can be calculated even for small values of 2 T σ (given enough computation time).  ... 
doi:10.4236/jmf.2016.65056 fatcat:qj7f72zxlvh63l7imjgenptmom

The Performance of Analytical Approximations for the Computation of Asian Quanto-Basket Option Prices

Jean-Yves Datey, Geneviève Gauthier, Jean-Guy Simonato
2003 Multinational Finance Journal  
This paper thus examines the precision of three different analytical approximations available to price Asian quanto-basket options.  ...  An option contract now commonly encountered is the Asian quanto-basket option.  ...  We have thus examined here the precision of three different analytical approximations which can be computed in fractions of seconds for the Asian quanto-basket option.  ... 
doi:10.17578/7-1/2-3 fatcat:jqi7n5noqzdrbdqae4ij2tlhm4

Dynamic scheduling Monte-Carlo framework for multi-accelerator heterogeneous clusters

Anson H.T. Tse, David B. Thomas, K.H. Tsoi, Wayne Luk
2010 2010 International Conference on Field-Programmable Technology  
The huge amount of computation in MC makes it a good candidate for acceleration using hardware and distributed computing platforms.  ...  Monte-Carlo (MC) simulation is an effective tool for solving complex problems such as many-body simulation, exotic option pricing and partial differential equation solving.  ...  The support of the Croucher Foundation, UK EPSRC, Alpha Data, nVidia, and Xilinx is gratefully acknowledged.  ... 
doi:10.1109/fpt.2010.5681495 dblp:conf/fpt/TseTTL10 fatcat:x6e7st6p4bbh3jcuf54atwcwse

Comparing performance and energy efficiency of FPGAs and GPUs for high productivity computing

Brahim Betkaoui, David B. Thomas, Wayne Luk
2010 2010 International Conference on Field-Programmable Technology  
The CUDA system has provided a high productivity approach for programming GPUs.  ...  This paper provides the first comparison of performance and energy efficiency of high productivity computing systems based on FPGA (Field-Programmable Gate Array) and GPU (Graphics Processing Unit) technologies  ...  Asian options are a form of derivative which provides a payoff related to the arithmetic average of the price of an underlying asset during the option life-time: P call = max( 1 n + 1 n i=0 S(t i ) − K  ... 
doi:10.1109/fpt.2010.5681761 dblp:conf/fpt/BetkaouiTL10 fatcat:nanujaq7gbhljc7x67muq3ygjy

Monte-Carlo Simulation-Based Financial Computing on the Maxwell FPGA Parallel Machine [chapter]

Xiang Tian, Khaled Benkrid
2013 High-Performance Computing Using FPGAs  
and efficient platform for high performance computing applications, particularly financial computing.  ...  In light of the above, the project presented in this chapter develops novel FPGA hardware architectures for Monte-Carlo simulations of different types of financial option pricing models, namely European  ...  Asian Option Pricing In Asian options, the payoff is determined by the average underlying price over some pre-set period of time.  ... 
doi:10.1007/978-1-4614-1791-0_2 fatcat:tz34xzedmvdulkbwnwxy7numme

Pricing and hedging of arithmetic Asian options via the Edgeworth series expansion approach

Weiping Li, Su Chen
2016 Journal of Finance and Data Science  
Moreover, we present explicitly a method to compute each term in our pricing formula. The hedging formulas (greek letters) for the arithmetic Asian options are obtained as well.  ...  In this paper, we derive a pricing formula for arithmetic Asian options by using the Edgeworth series expansion.  ...  However, if the present underlying asset price is high, the arithmetic Asian options are way more sensitive to the change of the present underlying asset price than the plain vanilla options.  ... 
doi:10.1016/j.jfds.2016.01.001 fatcat:l4sap5dglrcjbh43dwk4it2zza

Determining the optimum confidence interval based on the hybrid Monte Carlo method and its application in financial calculations

Kianoush Fathi Vajargah
2014 International Journal of Advanced Statistics and Probability  
The accuracy of Monte Carlo and quasi-Monte Carlo methods decreases in problems of high dimensions.  ...  Therefore, the objective of this study was to present an optimum method to increase the accuracy of the answer. As the problem gets larger, the resulting accuracy will be higher.  ...  Example 1: (Geometric Asian option pricing): The price of Geometric Asian options [8] can be computed precisely, while, the arithmetic Asian options cannot be priced precisely by the formula.  ... 
doi:10.14419/ijasp.v3i1.3773 fatcat:6yx7ybny3zf4llnmh65tqvwthi

Lower Precision calculation for option pricing

Katarzyna Ścibisz-Mordelska
2017 Computer Science  
The research includes the deployment of a lower-precision type in two option-pricing algorithms: the Black-Scholes and Monte Carlo simulations.  ...  The problem of option pricing is one of the most critical issues and fundamental building blocks in mathematical finance.  ...  The authors of [5] trained deep neural networks with low-precision storage and high-precision arithmetic on GPUs and FPGA.  ... 
doi:10.7494/csci.2017.18.4.2361 fatcat:qi2yvyme3fhrxg2vahga4tlkai

High Performance Monte-Carlo Based Option Pricing on FPGAs

Xiang Tian, Khaled Benkrid, Xiaochen Gu
2008 Engineering Letters  
Computer clusters with off-the-shelf accelerator hardware are increasingly being proposed as an economic high performance implementation platform for many scientific computing applications.  ...  This paper is part of this trend as it presents an implementation of a Monte-Carlo simulation engine for option pricing on an FPGA-based supercomputer, called Maxwell, developed at the University of Edinburgh  ...  A simple Asian option pricing core was designed as a demonstration application on Maxwell.  ... 
dblp:journals/engl/TianBG08 fatcat:pgek6nvcsjabrd46a6w4gkgp2e

Unifying Finite Difference Option-Pricing for Hardware Acceleration

Qiwei Jin, Wayne Luk, David B. Thomas
2011 2011 21st International Conference on Field Programmable Logic and Applications  
Explicit finite difference method is widely used in finance for pricing many kinds of options.  ...  The proposed methodology is demonstrated using three option pricing problems.  ...  Fig. 1 : Explicit Finite Difference Grid for Asian Option Pricing.  ... 
doi:10.1109/fpl.2011.12 dblp:conf/fpl/JinLT11 fatcat:pzvdf4hmvvgzfnrgkousc234ge
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