Using Field Programmable Gate Arrays (FPGAs) to accelerate financial derivative calculations is becoming very common. In this work, we implement an FPGA-based specific processor for European option pricing using Monte Carlo simulations, and we compare its performance and power dissipation to the execution on a CPU. The experimental results show that impressive results, in terms of speed-up and energy savings, can be obtained by using FPGA-based accelerators at expenses of a longer development time.
|Title of host publication||2012 NORCHIP|
|Number of pages||4|
|Publication status||Published - 2012|
|Event||30th NORCHIP conference - Copenhagen, Denmark|
Duration: 12 Nov 2012 → 13 Nov 2012
|Conference||30th NORCHIP conference|
|Period||12/11/2012 → 13/11/2012|