Results 1 - 10 of 318

Efficient reconfigurable design for pricing Asian options

by Anson H. T. Tse, David B. Thomas, K. H. Tsoi, Wayne Luk - SIGARCH Comput. Archit. News
"... Arithmetic Asian options are financial derivatives which have the feature of path-dependency: they depend on the entire price path of the underlying asset, rather than just the instantaneous price. This path-dependency makes them difficult to price, as only computationally intensive Monte-Carlo meth ..."
Abstract - Cited by 8 (2 self) - Add to MetaCart
-Carlo methods can provide accurate prices. This paper proposes an FPGA-accelerated Asian option pricing solution, using a highly-optimised parallel Monte-Carlo architecture. The proposed pipelined design is described parametrically, facilitating its re-use for different technologies. An implementation

Managing Energy and Server Resources in Hosting Centers

by Jeffrey S. Chase, Darrell C. Anderson, Prachi N. Thakar, Amin M. Vahdat - In Proceedings of the 18th ACM Symposium on Operating System Principles (SOSP , 2001
"... Interact hosting centers serve multiple service sites from a common hardware base. This paper presents the design and implementation of an architecture for resource management in a hosting center op-erating system, with an emphasis on energy as a driving resource management issue for large server cl ..."
Abstract - Cited by 574 (37 self) - Add to MetaCart
by estimating the value of their effects on service performance. A greedy resource allocation algorithm adjusts resource prices to balance supply and demand, allocating resources to their most efficient use. A reconfigurable server switching infrastructure directs request traffic to the servers assigned to each

Reconfigurable control variate Monte-Carlo designs for pricing exotic options

by Anson H. T. Tse, David B. Thomas, K. H. Tsoi, Wayne Luk - in Proc. Int. Conf. on Field Programmable Logic and Applications, 2010
"... Abstract—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 Mon ..."
Abstract - Cited by 3 (2 self) - Add to MetaCart
Monte-Carlo (CVMC) framework for pricing exotic options. An optimised implementation of arithmetic Asian option pricing under this framework in a Virtex-5 xc5vlx330t FPGA at 200MHz is 24 times faster than a multi-threaded software implementation on a Xeon E5420 at 2.5GHz; it is also 2.4 times faster

pricing Asian options

by Universités De Paris, Paris Cnrs (umr, G. Pagès, J. Printems, Gilles Pagès, Jacques Printems , 2004
"... We investigate in this paper some numerical aspects of quadratic functional quantization of Gaussian processes, especially, the Brownian motion (and the Brownian bridge). We illustrate the numerical efficiency of functional quantization on the Asian option pricing in a Black & Scholes model. ..."
Abstract - Add to MetaCart
We investigate in this paper some numerical aspects of quadratic functional quantization of Gaussian processes, especially, the Brownian motion (and the Brownian bridge). We illustrate the numerical efficiency of functional quantization on the Asian option pricing in a Black & Scholes model.

Efficiency Improvement By Lattice Rules For Pricing Asian Options

by Christiane Lemieux, Pierre L'Ecuyer - In Proceedings of the 1998 Winter Simulation Conference , 1998
"... This paper compares Monte Carlo methods, lattice rules, and other low-discrepancy point sets on the problem of evaluating asian options. The combination of these methods with variance reduction techniques is also explored. 1. INTRODUCTION For the approximation of multidimensional integrals, two ty ..."
Abstract - Cited by 23 (6 self) - Add to MetaCart
This paper compares Monte Carlo methods, lattice rules, and other low-discrepancy point sets on the problem of evaluating asian options. The combination of these methods with variance reduction techniques is also explored. 1. INTRODUCTION For the approximation of multidimensional integrals, two

Efficiency Improvement By Lattice Rules For Pricing Asian Options

by Christiane Lemieux And, Christiane Lemieux - In Proceedings of the 1998 Winter Simulation Conference , 1998
"... This paper compares Monte Carlo methods, lattice rules, and other low-discrepancy point sets on the problem of evaluating asian options. The combination of these methods with variance reduction techniques is also explored. 1. INTRODUCTION For the approximation of multidimensional integrals, two ty ..."
Abstract - Add to MetaCart
This paper compares Monte Carlo methods, lattice rules, and other low-discrepancy point sets on the problem of evaluating asian options. The combination of these methods with variance reduction techniques is also explored. 1. INTRODUCTION For the approximation of multidimensional integrals, two

W.: Design exploration of quadrature methods in option pricing

by Anson H. T. Tse, Student Member, David Thomas, Wayne Luk - IEEE Transactions on Very Large Scale Integration (VLSI) Systems , 2011
"... Abstract—This paper presents a novel parallel architecture for accelerating quadrature methods used for pricing complex multi-dimensional options, such as discrete barrier, Bermudan and American options. We explore different designs of the quadrature evaluation core including optimized pipelined har ..."
Abstract - Cited by 1 (1 self) - Add to MetaCart
Abstract—This paper presents a novel parallel architecture for accelerating quadrature methods used for pricing complex multi-dimensional options, such as discrete barrier, Bermudan and American options. We explore different designs of the quadrature evaluation core including optimized pipelined

Bounds for the Price of Discrete Arithmetic Asian Options

by M. Vanmaele, G. Deelstra, J. Liinev, J. Dhaene, M.J. Goovaerts
"... In this paper the pricing of European-style discrete arithmetic Asian options with fixed and floating strike is studied by deriving analytical lower and upper bounds. In our approach we use a general technique for deriving upper (and lower) bounds for stop-loss premiums of sums of dependent random v ..."
Abstract - Cited by 5 (4 self) - Add to MetaCart
In this paper the pricing of European-style discrete arithmetic Asian options with fixed and floating strike is studied by deriving analytical lower and upper bounds. In our approach we use a general technique for deriving upper (and lower) bounds for stop-loss premiums of sums of dependent random

Generalized Control Variate Methods for Pricing Asian Options

by Chuan-hsiang Han, Yongzeng Lai , 2009
"... The conventional control variate method proposed by Kemna and Vorst (1990) to evaluate Asian options under the Black-Scholes model can be interpreted as a particular selection of linear martingale controls. We generalize the constant control parameter into a control process to gain more reduction on ..."
Abstract - Cited by 1 (1 self) - Add to MetaCart
on variance. By means of an option price approximation, we construct a martingale control variate method, which outperforms the conventional control variate method. It is straightforward to extend such linear control to a nonlinear situation such as the American Asian option problem. From the variance

Exploring reconfigurable architectures for explicit finite difference option pricing models

by Qiwei Jin, David B. Thomas, Wayne Luk - in Int. Conf. on Field Programmable Logic and Applications, 2009
"... This paper explores the application of reconfigurable hardware and Graphics Processing Units (GPUs) to the acceleration of financial computation using the finite difference (FD) method. A parallel pipelined architecture has been developed to support concurrent valuation of independent options with h ..."
Abstract - Cited by 6 (5 self) - Add to MetaCart
This paper explores the application of reconfigurable hardware and Graphics Processing Units (GPUs) to the acceleration of financial computation using the finite difference (FD) method. A parallel pipelined architecture has been developed to support concurrent valuation of independent options
Results 1 - 10 of 318