The role of FPGAs in Modern Option Pricing techniques: A survey
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Date
2024-08-12
Authors
O'Mahony, Aidan
Hanzon, Bernard
Popovici, Emanuel
Journal Title
Journal ISSN
Volume Title
Publisher
MDPI
Published Version
Abstract
In financial computation, Field Programmable Gate Arrays (FPGAs) have emerged as a transformative technology, particularly in the domain of option pricing. This study presents the impact of Field Programmable Gate Arrays (FPGAs) on computational methods in finance, with an emphasis on option pricing. Our review examined 99 selected studies from an initial pool of 131, revealing how FPGAs substantially enhance both the speed and energy efficiency of various financial models, particularly Black–Scholes and Monte Carlo simulations. Notably, the performance gains—ranging from 270- to 5400-times faster than conventional CPU implementations—are highly dependent on the specific option pricing model employed. These findings illustrate FPGAs’ capability to efficiently process complex financial computations while consuming less energy. Despite these benefits, this paper highlights persistent challenges in FPGA design optimization and programming complexity. This study not only emphasises the potential of FPGAs to further innovate financial computing but also outlines the critical areas for future research to overcome existing barriers and fully leverage FPGA technology in future financial applications.
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Keywords
Field Programmable Gate Arrays (FPGAs) , Option pricing , Literature review , Financial computation , High-frequency trading , Black–Scholes model , Energy efficiency , FPGA optimization , Hardware acceleration
Citation
O'Mahony, A., Hanzon, B. and Popovici, E. (2024) ‘The role of FPGAs in Modern Option Pricing Techniques: a survey’, Electronics, 13(16), 3186. Available at: https://doi.org/10.3390/electronics13163186