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Exploring Reconfigurable Architectures for Tree-Based Option Pricing Models

Published:01 September 2009Publication History
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Abstract

This article explores the application of reconfigurable hardware to the acceleration of financial computation using tree-based pricing models. Two parallel pipelined architectures have been developed for option valuation using binomial trees and trinomial trees, with support for concurrent evaluation of independent options to achieve high pricing throughput. Our results show that the tree-based models executing on a Virtex 4 field programmable gate array (FPGA) at 82.7 MHz with fixed-point arithmetic can run over 160 times faster than a Core2 Duo processor at 2.2 GHz. The FPGA implementation is two times faster than the nVidia Geforce 7900GTX processor with 24 pipelines at 650 MHz, and 27%--35% slower than the nVidia Geforce 8600GTS processor with 32 Pipelines at 1450 MHz. Our preliminary experiments also indicate that while an FPGA implementation can be slower than a GPU, it could be more efficient when power consumption is taken into account.

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    • Published in

      cover image ACM Transactions on Reconfigurable Technology and Systems
      ACM Transactions on Reconfigurable Technology and Systems  Volume 2, Issue 4
      September 2009
      134 pages
      ISSN:1936-7406
      EISSN:1936-7414
      DOI:10.1145/1575779
      Issue’s Table of Contents

      Copyright © 2009 ACM

      Publisher

      Association for Computing Machinery

      New York, NY, United States

      Publication History

      • Published: 1 September 2009
      • Accepted: 1 December 2008
      • Revised: 1 November 2008
      • Received: 1 June 2008
      Published in trets Volume 2, Issue 4

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