DOI QR코드

DOI QR Code

FPGA-Based Design of Black Scholes Financial Model for High Performance Trading

  • Choo, Chang (Department of Electrical Engineering, San Jose State University) ;
  • Malhotra, Lokesh (Department of Electrical Engineering, San Jose State University) ;
  • Munjal, Abhishek (Department of Electrical Engineering, San Jose State University)
  • 투고 : 2013.03.07
  • 심사 : 2013.05.06
  • 발행 : 2013.09.30

초록

Recently, one of the most vital advancement in the field of finance is high-performance trading using field-programmable gate array (FPGA). The objective of this paper is to design high-performance Black Scholes option trading system on an FPGA. We implemented an efficient Black Scholes Call Option System IP on an FPGA. The IP may perform 180 million transactions per second after initial latency of 208 clock cycles. The implementation requires the 64-bit IEEE double-precision floatingpoint adder, multiplier, exponent, logarithm, division, and square root IPs. Our experimental results show that the design is highly efficient in terms of frequency and resource utilization, with the maximum frequency of 179 MHz on Altera Stratix V.

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참고문헌

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