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
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر شبکه های کامپیوتری و ارتباطات
پیش نمایش صفحه اول مقاله
FPGA acceleration using high-level languages of a Monte-Carlo method for pricing complex options
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
نویسندگان
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