Option pricing with multi-dimensional quadrature architectures

Proceedings of the 2009 International Conference on Field-Programmable Technology, FPT'09

Volumn , Issue , 2009, Pages 427-430

  Tse, Anson H T ^a   Thomas, David B ^a   Luk, Wayne ^a  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

AUTOMATED SYSTEMS; EXPONENTIAL INCREASE; FINANCIAL PRODUCTS; FPGA IMPLEMENTATIONS; HARDWARE ARCHITECTURE; NUMERICAL INTEGRATIONS; OPTION PRICING; QUADRATURE ARCHITECTURE; QUADRATURE METHODS; THEORETICAL COMPLEXITY; THREE DIMENSIONS;

COMPUTATIONAL COMPLEXITY; COMPUTER GRAPHICS EQUIPMENT; ECONOMICS; ENERGY EFFICIENCY; NUMERICAL METHODS; PROGRAM PROCESSORS; TECHNOLOGY;

FIELD PROGRAMMABLE GATE ARRAYS (FPGA);

EID: 77949401967     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/FPT.2009.5377648     Document Type: Conference Paper

References (6)

1. Q. Jin, D. B. Thomas, W. Luk, and B. Cope, "Exploring reconfigurable architectures for binomial-tree pricing models," in Proceedings of the 4th international workshop on Applied Reconfigurable Computing. LNCS 4943. Springer-Verlag, 2008, pp. 245-255.
2. Q. Jin, D. B. Thomas, and W. Luk, "Exploring recon.gurable architectures for explicit finite differece option pricing models," in Proc. Int. Conf. on Field-Programmable Technology. IEEE, 2009.
3. A. H. T. Tse, D. B. Thomas, and W. Luk, "Accelerating quadrature methods for option valuation," in Proc. IEEE Symp. on FPGAs for Custom Computing Machines, 2009.
4. A. D. Andricopoulos, M. Widdicks, D. P. Newton, and P. W. Duck, "Extending quadrature methods to value multi-asset and complex path dependent options," Journal of Financial Economics, vol. 83, no. 2, pp. 471-499, 2007.
5. E. Sueli and D. F. Mayers, An Introduction to Numerical Analysis. Cambridge University Press, 2006.
6. G. Morris and M. Aubury, "Design space exploration of the European option benchmark using hyperstreams," in Proc. Int. Conf. on Field Programmable Logic and Applications. IEEE, 2007.