High Performance Monte-Carlo Based Option Pricing on FPGAs.
Xiang TianKhaled BenkridXiaochen GuPublished in: Eng. Lett. (2008)
Keyphrases
- monte carlo
- option pricing
- black scholes
- decision analysis
- stock price
- monte carlo simulation
- markov chain
- monte carlo tree search
- importance sampling
- real option
- black scholes model
- field programmable gate array
- markovian decision
- particle filter
- image processing
- influence diagrams
- reinforcement learning
- adaptive sampling
- non stationary
- variance reduction
- knowledge discovery
- search algorithm
- learning algorithm
- quasi monte carlo
- machine learning