An option pricing hardware accelerator

Abstract

Aiming at the technical problems that a traditional option pricing method is realized by adopting software and the calculation performance is difficult to ensure, the invention provides an option pricing hardware accelerator, which consists of a target asset price prediction module, a single-path profit profit profit calculation module and an average profit profit profit calculation module, The target asset price prediction module is responsible for completing Monte Carlo simulation of one-time target asset price prediction to obtain a target asset price prediction value; and the single-path profit income calculation module is responsible for calculating a profit income prediction value of the Monte Carlo simulation according to the target asset price prediction value. And the average profit income calculation module is responsible for accumulating profit incomes generated by Monte Carlo simulation each time and then calculating an average value of the profit incomes, and the value isan option profit income estimation value. Compared with software implementation, the method has the advantages of high performance, low hardware resource consumption and easiness in parallelization.

Description

technical field [0001] The present invention relates to a hardware accelerator based on a reconfigurable architecture in the field of high-performance computing, in particular to an option pricing hardware accelerator. Background technique [0002] Financial engineering is an application field that requires extremely high real-time computing. Financial analysts need to use financial analysis tools to make decisions quickly according to changes in the market, and a slight delay may cause huge economic losses. For example, AMD pointed out at its Analyst Day (Analyst Day) in 2007 that a 1-millisecond delay in stock trading activities in the stock exchange could lead to losses of up to $100 million. In recent years, with the continuous development of the global economy, the scale of the problems involved in the financial field is increasing, resulting in the corresponding calculation algorithms becoming more complex, and the amount of calculation required to solve the problem h...

AI Technical Summary

Problems solved by technology

Complex option pricing models are often difficult to obtain definite solutions by ordinary numerical calculation methods, and the results can only be estimated by Monte Carlo

This involves a large number of iterative calculations. Traditional option pricing calculations are usually implemented by software, and the calculation performance is difficult to guarantee.

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