Acceleration-as-a-µService: A Cloud-native Monte-Carlo Option Pricing Engine on CPUs, GPUs and Disaggregated FPGAs.
Dionysios DiamantopoulosRaphael PoligBurkhard RingleinMitra PurandareBeat WeissChristoph HagleitnerMark A. LantzFrançois AbelPublished in: CLOUD (2021)
Keyphrases
- monte carlo
- option pricing
- parallel processing
- graphics processing units
- black scholes
- decision analysis
- parallel architectures
- markov chain
- stock price
- monte carlo simulation
- cloud computing
- monte carlo tree search
- particle filter
- black scholes model
- real option
- variance reduction
- long term
- markovian decision
- multi criteria
- optimal strategy
- hardware implementation
- stock market
- decision makers
- reinforcement learning
- field programmable gate array
- risk analysis
- massively parallel