A Parallel and Pipelined Implementation of a Pascal-Simplex Based Two Asset Option Pricer on FPGA using OpenCL

Mahony, Aidan O; Zeidan, Gil; Hanzon, Bernard; Popovici, Emanuel

doi:10.1109/norcas51424.2020.9264992

2020 IEEE Nordic Circuits and Systems Conference (NorCAS) 2020

DOI: 10.1109/norcas51424.2020.9264992

|View full text |Cite

A Parallel and Pipelined Implementation of a Pascal-Simplex Based Two Asset Option Pricer on FPGA using OpenCL

Aidan O Mahony

Gil Zeidan

Bernard Hanzon

et al.

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2024

Publication Types

Select...

Article1

Relationship

Self Cite0

Independent1

Authors

Journals

Cited by 1 publication

References 21 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

The Role of FPGAs in Modern Option Pricing Techniques: A Survey

O Mahony,

Hanzon,

Popovici

2024

Electronics

View full text Add to dashboard Cite

In financial computation, Field Programmable Gate Arrays (FPGAs) have emerged as a transformative technology, particularly in the domain of option pricing. This study presents the impact of Field Programmable Gate Arrays (FPGAs) on computational methods in finance, with an emphasis on option pricing. Our review examined 99 selected studies from an initial pool of 131, revealing how FPGAs substantially enhance both the speed and energy efficiency of various financial models, particularly Black–Scholes and Monte Carlo simulations. Notably, the performance gains—ranging from 270- to 5400-times faster than conventional CPU implementations—are highly dependent on the specific option pricing model employed. These findings illustrate FPGAs’ capability to efficiently process complex financial computations while consuming less energy. Despite these benefits, this paper highlights persistent challenges in FPGA design optimization and programming complexity. This study not only emphasises the potential of FPGAs to further innovate financial computing but also outlines the critical areas for future research to overcome existing barriers and fully leverage FPGA technology in future financial applications.

show abstract

The Role of FPGAs in Modern Option Pricing Techniques: A Survey

O Mahony,

Hanzon,

Popovici

2024

Electronics

View full text Add to dashboard Cite

show abstract

scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.

Contact Info

customersupport@researchsolutions.com

10624 S. Eastern Ave., Ste. A-614

Henderson, NV 89052, USA

Blog Terms and Conditions API Terms Privacy Policy Contact Cookie Preferences Do Not Sell or Share My Personal Information

Made with 💙 for researchers

Part of the Research Solutions Family.

A Parallel and Pipelined Implementation of a Pascal-Simplex Based Two Asset Option Pricer on FPGA using OpenCL

Cited by 1 publication

References 21 publications

The Role of FPGAs in Modern Option Pricing Techniques: A Survey

The Role of FPGAs in Modern Option Pricing Techniques: A Survey

Contact Info

Product

Resources

About