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

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dc.contributor.authorO'Mahony, Aidan T.
dc.contributor.authorZeidan, Gil
dc.contributor.authorHanzon, Bernard
dc.contributor.authorPopovici, Emanuel M.
dc.contributor.funderIntel Corporationen
dc.contributor.funderScience Foundation Irelanden
dc.date.accessioned2020-10-27T16:10:57Z
dc.date.available2020-10-27T16:10:57Z
dc.date.issued2020-10-27
dc.description.abstractWith 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.sponsorshipIntel (Intel Programmable Solutions Group); Science Foundation Ireland (under grant 07/MI/008, and the SFI INSIGHT Centre for Data Analytics)en
dc.description.statusPeer revieweden
dc.description.versionAccepted Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.citationO'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.endpage6en
dc.identifier.startpage1en
dc.identifier.urihttps://hdl.handle.net/10468/10682
dc.language.isoenen
dc.publisherInstitute of Electrical and Electronics Engineers (IEEE)en
dc.relation.projectinfo:eu-repo/grantAgreement/SFI/SFI Principal Investigator Programme (PI)/07/MI/008/IE/Edgeworth Centre for Financial Mathematics/en
dc.relation.urihttps://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 worksen
dc.subjectFinanceen
dc.subjectFPGAen
dc.subjectOpenCLen
dc.subjectEuropean optionen
dc.subjectField programmable gate arraysen
dc.subjectAccelerationen
dc.subjectPricingen
dc.subjectSimplexen
dc.subjectMultiple assetsen
dc.titleA parallel and pipelined implementation of a Pascal-simplex based two asset option pricer on FPGA using OpenCLen
dc.typeConference itemen
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