A parallel and pipelined implementation of a Pascal-simplex based two asset option pricer on FPGA using OpenCL

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dc.contributor.author O'Mahony, Aidan T.
dc.contributor.author Zeidan, Gil
dc.contributor.author Hanzon, Bernard
dc.contributor.author Popovici, Emanuel M.
dc.date.accessioned 2020-10-27T16:10:57Z
dc.date.available 2020-10-27T16:10:57Z
dc.date.issued 2020-10-27
dc.identifier.citation O'Mahony, A., Zeidan, G., Hanzon, B. and Popovici, E. (2020) ‘A parallel and pipelined implementation of a Pascal-simplex based two asset option pricer on FPGA using OpenCL’, NorCAS 2020, IEEE Nordic Circuits and Systems Conference, 27-28 October, Oslo, Norway, Virtual Conference, (6 pp). en
dc.identifier.startpage 1 en
dc.identifier.endpage 6 en
dc.identifier.uri http://hdl.handle.net/10468/10682
dc.description.abstract With the resurgence of hardware for financial technology, several methods for accelerating financial option pricing have been investigated. This paper presents the first architecture and implementation of a two-asset option pricer based on Pascal’s simplex, which takes advantage of the parallelism and pipelining offered by FPGA technology. The theory that this architecture is constructed from is based on a recombining multinomial tree approach which in turn is a generalization of the binomial tree model. Furthermore, we show that while a significant difficulty exists in efficiently maintaining the intermediate values required for the computation, a solution exists in the form of FIFOs. Our implementation, on an Intel Stratix 10 GX FPGA, is based on the OpenCL framework and can compute 6250 two asset option prices per second for a time step of 100 and the pipelining of the option value computation show a 25 times improvement when a 50-step pipeline is created. en
dc.description.sponsorship Intel (Intel Programmable Solutions Group); Science Foundation Ireland (under grant 07/MI/008, and the SFI INSIGHT Centre for Data Analytics) en
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.publisher Institute of Electrical and Electronics Engineers (IEEE) en
dc.relation.uri https://events.tuni.fi/norcas2020/
dc.rights © 2020 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works en
dc.subject Finance en
dc.subject FPGA en
dc.subject OpenCL en
dc.subject European option en
dc.subject Field programmable gate arrays en
dc.subject Acceleration en
dc.subject Pricing en
dc.subject Simplex en
dc.subject Multiple assets en
dc.title A parallel and pipelined implementation of a Pascal-simplex based two asset option pricer on FPGA using OpenCL en
dc.type Conference item en
dc.internal.authorcontactother Aidan O'Mahony, Electrical & Electronic Engineering, University College Cork, Cork, Ireland. +353-21-490-3000 en
dc.internal.availability Full text available en
dc.description.version Accepted Version en
dc.contributor.funder Intel Corporation en
dc.contributor.funder Science Foundation Ireland en
dc.description.status Peer reviewed en
dc.internal.IRISemailaddress b.hanzon@ucc.ie en
dc.internal.IRISemailaddress e.popovici@ucc.ie en
dc.relation.project info:eu-repo/grantAgreement/SFI/SFI Principal Investigator Programme (PI)/07/MI/008/IE/Edgeworth Centre for Financial Mathematics/ en

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