کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
457645 | 695989 | 2013 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
FPGA acceleration using high-level languages of a Monte-Carlo method for pricing complex options
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
شبکه های کامپیوتری و ارتباطات
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper we present an FPGA implementation of a Monte-Carlo method for pricing Asian options using Impulse C and floating-point arithmetic. In an Altera Stratix-V FPGA, a 149x speedup factor was obtained against an OpenMP-based solution in a 4-core Intel Core i7 processor. This speedup is comparable to that reported in the literature using a classic HDL-based methodology, but the development time is significantly reduced. Additionally, the use of a HLL-based methodology allowed us to implement a high-quality Gaussian random number generator, which produces more precise results than those obtained with the simple generators usually present in HDL-based designs.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Systems Architecture - Volume 59, Issue 3, March 2013, Pages 135–143
Journal: Journal of Systems Architecture - Volume 59, Issue 3, March 2013, Pages 135–143
نویسندگان
Diego Sanchez-Roman, Victor Moreno, Sergio Lopez-Buedo, Gustavo Sutter, Ivan Gonzalez, Francisco J. Gomez-Arribas, Javier Aracil,