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: CoRR (2021)
Keyphrases
- monte carlo
- option pricing
- parallel processing
- markov chain
- black scholes
- graphics processing units
- monte carlo simulation
- decision analysis
- stock price
- cloud computing
- markovian decision
- real option
- parallel architectures
- variance reduction
- parallel programming
- multi criteria
- monte carlo tree search
- field programmable gate array
- parallel computing
- matrix inversion
- parallel algorithm
- data mining