American Multinomial Option Pricing on FPGA using OneAPI

dc.contributor.authorO'Mahony, Aidan T.
dc.contributor.authorZeidan, Gil
dc.contributor.authorHanzon, Bernard
dc.contributor.authorPopovici, Emanuel M.
dc.contributor.funderDell Technologiesen
dc.contributor.funderIntel Corporationen
dc.contributor.funderScience Foundation Irelanden
dc.date.accessioned2023-10-12T10:31:02Z
dc.date.available2023-10-12T10:31:02Z
dc.date.issued2023en
dc.description.abstractThis 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.en
dc.description.sponsorshipIntel Corporation (Intel Programmable Solutions Group)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. 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, IEEE forthcoming publicationen
dc.identifier.urihttps://hdl.handle.net/10468/15105
dc.language.isoenen
dc.publisherIEEEen
dc.relation.projectinfo:eu-repo/grantAgreement/SFI/SFI Principal Investigator Programme (PI)/07/MI/008/IE/Edgeworth Centre for Financial Mathematics/en
dc.relation.projectinfo:eu-repo/grantAgreement/SFI/SFI Research Centres Programme::Phase 2/12/RC/2289-P2s/IE/INSIGHT Phase 2/en
dc.relation.projectinfo:eu-repo/grantAgreement/SFI/SFI Research Centres/12/RC/2289/IE/INSIGHT - Irelands Big Data and Analytics Research Centre/en
dc.relation.urihttps://www.mwscas2023.com/homeen
dc.relation.urihttps://ieeexplore.ieee.org/xpl/conhome/1000090/all-proceedingsen
dc.rights© 2023en
dc.subjectFintech acceleratorsen
dc.subjectAmerican optionsen
dc.subjectOneAPIen
dc.subjectField-Programmable Gate Arrays (FPGAs)en
dc.subjectMulti asset pricingen
dc.subjectDigital Systemsen
dc.titleAmerican Multinomial Option Pricing on FPGA using OneAPIen
dc.typeConference itemen
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