Multi asset option pricer
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Extension to existing two asset pricer to N asset option pricer based on pascals simplex ...learn more
Project status: Under Development
Intel Technologies
Intel FPGA
Overview / Usage
This project presents an implementation of an accurate multi-asset option pricer on an Intel Stratix 10 GX FPGA. The implementation is highly flexible for the number of assets supported, the maximum tree depth, and the pipelining parameters. The implementation presented in this paper allows for the computation of an option price on up to 7 assets and can compute up to 43 times faster than general-purpose processors.
Methodology / Approach
The theory that this architecture is based on is that of a recombining multinomial tree approach, which is a generalization of the binomial tree model. It is an extension of the work first presented https://ieeexplore.ieee.org/document/9264992
Technologies Used
Stratix 10/OpenCL