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A number of different numerical methods for accelerating financial option pricing using FPGAs have recently been investigated, such as Monte-Carlo, finite-difference, quadrature, and binomial trees. However, these papers only compare acceleration of each method against the same method in software, and do not consider a more important practical question, which is to identify the method that provides...
Exotic options are financial derivatives which have complex features including path-dependency. These complex features make them difficult to price, as only computationally intensive Monte-Carlo methods can provide accurate prices. This paper proposes an FPGA-accelerated control variate Monte-Carlo (CVMC) framework for pricing exotic options. An optimised implementation of arithmetic Asian option...
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