A multi-level Monte Carlo FPGA accelerator for option pricing in the Heston model.

Christian de Schryver Pedro Torruella Norbert Wehn

Published in: DATE (2013)

Keyphrases

monte carlo
option pricing
probabilistic model
monte carlo simulation
probability distribution
markov chain
sensitivity analysis
decision making
objective function
text classification
expert knowledge
influence diagrams
decision model
black scholes model