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Monte-Carlo (MC) simulation is an effective tool for solving complex problems such as many-body simulation, exotic option pricing and partial differential equation solving. The huge amount of computation in MC makes it a good candidate for acceleration using hardware and distributed computing platforms. We propose a novel MC simulation framework suitable for a wide range of problems. This framework...
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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