American Multinomial Option Pricing on FPGA using OneAPI

Aidan O. Mahony; Gil Zeidan; Bernard Hanzon; Emanuel Popovici

doi:10.1109/MWSCAS57524.2023.10406037

American Multinomial Option Pricing on FPGA using OneAPI

Aidan O. Mahony
, Gil Zeidan
, Bernard Hanzon
, Emanuel Popovici

Research output: Chapter in Book/Report/Conference proceedings › Conference proceeding › peer-review

Abstract

This paper describes a new method for pricing American options that utilizes the OneAPI framework and a Field-Programmable Gate Array (FPGA) device. By using a multinomial model based on Pascals Simplex, the method is able to price American options with improved performance over traditional methods. The use of the OneAPI framework allows for efficient parallelization of the computations on the FPGA, resulting in improved performance and faster pricing of the options. Our analysis indicates that for 7 assets, the method can process approximately 53.74 options per second at the maximum tree depth of 15, showcasing its potential for real-world applications. The results of the method are validated against existing pricing models, demonstrating its accuracy and viability for use in real-world option pricing applications.

Original language	English
Title of host publication	2023 IEEE 66th International Midwest Symposium on Circuits and Systems, MWSCAS 2023
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	831-835
Number of pages	5
ISBN (Electronic)	9798350302103
DOIs	https://doi.org/10.1109/MWSCAS57524.2023.10406037
Publication status	Published - 2023
Event	2023 IEEE 66th International Midwest Symposium on Circuits and Systems, MWSCAS 2023 - Tempe, United States Duration: 6 Aug 2023 → 9 Aug 2023

Publication series

Name	Midwest Symposium on Circuits and Systems
ISSN (Print)	1548-3746

Conference

Conference	2023 IEEE 66th International Midwest Symposium on Circuits and Systems, MWSCAS 2023
Country/Territory	United States
City	Tempe
Period	6/08/23 → 9/08/23

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 8 Decent Work and Economic Growth

Keywords

American options
Digital Systems
Field-Programmable Gate Arrays (FPGAs)
Fintech accelerators
Multi asset pricing
OneAPI

Access to Document

10.1109/MWSCAS57524.2023.10406037

Cite this

Mahony, A. O., Zeidan, G., Hanzon, B., & Popovici, E. (2023). American Multinomial Option Pricing on FPGA using OneAPI. In 2023 IEEE 66th International Midwest Symposium on Circuits and Systems, MWSCAS 2023 (pp. 831-835). (Midwest Symposium on Circuits and Systems). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/MWSCAS57524.2023.10406037

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title = "American Multinomial Option Pricing on FPGA using OneAPI",

abstract = "This paper describes a new method for pricing American options that utilizes the OneAPI framework and a Field-Programmable Gate Array (FPGA) device. By using a multinomial model based on Pascals Simplex, the method is able to price American options with improved performance over traditional methods. The use of the OneAPI framework allows for efficient parallelization of the computations on the FPGA, resulting in improved performance and faster pricing of the options. Our analysis indicates that for 7 assets, the method can process approximately 53.74 options per second at the maximum tree depth of 15, showcasing its potential for real-world applications. The results of the method are validated against existing pricing models, demonstrating its accuracy and viability for use in real-world option pricing applications.",

keywords = "American options, Digital Systems, Field-Programmable Gate Arrays (FPGAs), Fintech accelerators, Multi asset pricing, OneAPI",

author = "Mahony, \{Aidan O.\} and Gil Zeidan and Bernard Hanzon and Emanuel Popovici",

note = "Publisher Copyright: {\textcopyright} 2023 IEEE.; 2023 IEEE 66th International Midwest Symposium on Circuits and Systems, MWSCAS 2023 ; Conference date: 06-08-2023 Through 09-08-2023",

year = "2023",

doi = "10.1109/MWSCAS57524.2023.10406037",

language = "English",

series = "Midwest Symposium on Circuits and Systems",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

pages = "831--835",

booktitle = "2023 IEEE 66th International Midwest Symposium on Circuits and Systems, MWSCAS 2023",

address = "United States",

}

Mahony, AO, Zeidan, G, Hanzon, B & Popovici, E 2023, American Multinomial Option Pricing on FPGA using OneAPI. in 2023 IEEE 66th International Midwest Symposium on Circuits and Systems, MWSCAS 2023. Midwest Symposium on Circuits and Systems, Institute of Electrical and Electronics Engineers Inc., pp. 831-835, 2023 IEEE 66th International Midwest Symposium on Circuits and Systems, MWSCAS 2023, Tempe, United States, 6/08/23. https://doi.org/10.1109/MWSCAS57524.2023.10406037

American Multinomial Option Pricing on FPGA using OneAPI. / Mahony, Aidan O.; Zeidan, Gil; Hanzon, Bernard et al.
2023 IEEE 66th International Midwest Symposium on Circuits and Systems, MWSCAS 2023. Institute of Electrical and Electronics Engineers Inc., 2023. p. 831-835 (Midwest Symposium on Circuits and Systems).

Research output: Chapter in Book/Report/Conference proceedings › Conference proceeding › peer-review

TY - GEN

T1 - American Multinomial Option Pricing on FPGA using OneAPI

AU - Mahony, Aidan O.

AU - Zeidan, Gil

AU - Hanzon, Bernard

AU - Popovici, Emanuel

PY - 2023

Y1 - 2023

N2 - This paper describes a new method for pricing American options that utilizes the OneAPI framework and a Field-Programmable Gate Array (FPGA) device. By using a multinomial model based on Pascals Simplex, the method is able to price American options with improved performance over traditional methods. The use of the OneAPI framework allows for efficient parallelization of the computations on the FPGA, resulting in improved performance and faster pricing of the options. Our analysis indicates that for 7 assets, the method can process approximately 53.74 options per second at the maximum tree depth of 15, showcasing its potential for real-world applications. The results of the method are validated against existing pricing models, demonstrating its accuracy and viability for use in real-world option pricing applications.

AB - This paper describes a new method for pricing American options that utilizes the OneAPI framework and a Field-Programmable Gate Array (FPGA) device. By using a multinomial model based on Pascals Simplex, the method is able to price American options with improved performance over traditional methods. The use of the OneAPI framework allows for efficient parallelization of the computations on the FPGA, resulting in improved performance and faster pricing of the options. Our analysis indicates that for 7 assets, the method can process approximately 53.74 options per second at the maximum tree depth of 15, showcasing its potential for real-world applications. The results of the method are validated against existing pricing models, demonstrating its accuracy and viability for use in real-world option pricing applications.

KW - American options

KW - Digital Systems

KW - Field-Programmable Gate Arrays (FPGAs)

KW - Fintech accelerators

KW - Multi asset pricing

KW - OneAPI

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DO - 10.1109/MWSCAS57524.2023.10406037

M3 - Conference proceeding

AN - SCOPUS:85185369004

T3 - Midwest Symposium on Circuits and Systems

SP - 831

EP - 835

BT - 2023 IEEE 66th International Midwest Symposium on Circuits and Systems, MWSCAS 2023

PB - Institute of Electrical and Electronics Engineers Inc.

T2 - 2023 IEEE 66th International Midwest Symposium on Circuits and Systems, MWSCAS 2023

Y2 - 6 August 2023 through 9 August 2023

ER -

American Multinomial Option Pricing on FPGA using OneAPI

Abstract

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UN SDGs

Keywords

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