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doi: 10.3850/978-3-9815370-4-8_0688
Reverse Longstaff-Schwartz American Option Pricing on hybrid CPU/FPGA Systems
Christian Brugger1,a, Javier Alejandro Varela1,b, Norbert Wehn1,c, Songyin Tang2,d and Ralf Korn2,e
1Microelectronic Systems Design Research Group, University of Kaiserslautern, Germany.
abrugger@eit.uni-kl.de
bvarela@eit.uni-kl.de
cwehn@eit.uni-kl.de
2Stochastic Control and Financial Mathematics Group, University of Kaiserslautern, Germany.
atangs@mathematik.uni-kl.de
bkorn@mathematik.uni-kl.de
ABSTRACT
In today's markets, high-speed and energy-efficient computations are mandatory in the financial and insurance industry. At the same time, the gradual convergence of highperformance computing with embedded systems is having a huge impact on the design methodologies, where dedicated accelerators are implemented to increase performance and energy efficiency. This paper follows this trend and presents a novel way to price high-dimensional American options using techniques of the embedded community. The proposed architecture targets heterogeneous CPU/FPGA systems, and it exploits the FPGA reconfiguration to deliver high-throughput. With a bit-true algorithmic transformation based on recomputation, it is possible to eliminate the memory bottleneck and access costs. The result is a pricing system that is 16x faster and 268x more energy-efficient than an optimized Intel CPU implementation.
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