American Multinomial Option Pricing on FPGA using OneAPI

O'Mahony, Aidan T.; Zeidan, Gil; Hanzon, Bernard; Popovici, Emanuel M.

American Multinomial Option Pricing on FPGA using OneAPI

Files

MWSCAS.pdf(298.09 KB)

Accepted version

Date

2023

Authors

O'Mahony, Aidan T.

Zeidan, Gil

Hanzon, Bernard

Popovici, Emanuel M.

Publisher

IEEE

Published Version

https://doi.org/10.1109/MWSCAS57524.2023.10406037

Abstract

This paper describes a new method for pricing American options that utilizes the OneAPI framework and a Field-Programmable Gate Array (FPGA) device. By using a multinomial model based on Pascals Simplex, the method is able to price American options with improved performance over traditional methods. The use of the OneAPI framework allows for efficient parallelization of the computations on the FPGA, resulting in improved performance and faster pricing of the options. Our analysis indicates that for 7 assets, the method can process approximately 53.74 options per second at the maximum tree depth of 15, showcasing its potential for real-world applications. The results of the method are validated against existing pricing models, demonstrating its accuracy and viability for use in real-world option pricing applications.

Keywords

Fintech accelerators , American options , OneAPI , Field-Programmable Gate Arrays (FPGAs) , Multi asset pricing , Digital Systems

Citation

O'Mahony, A., Zeidan, G., Hanzon, B. and Popovici, E. M. (2023) ‘American Multinomial Option Pricing on FPGA Using OneAPI’, 2023 IEEE 66th International Midwest Symposium on Circuits and Systems (MWSCAS), 6-9 August, Phoenix, Arizona, USA, pp. 831–835. Available at: https://doi.org/10.1109/MWSCAS57524.2023.10406037.