Is High Level Synthesis Ready for Business? An Option Pricing Case Study

Author:

Inggs Gordon,Fleming Shane,Thomas David B.,Luk Wayne

Publisher

Springer International Publishing

Reference13 articles.

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4. Heston, S.L.: A closed-form solution for options with stochastic volatility with applications to bond and currency options. Rev. Financ. Stud. 6(2), 327–343 (1993). http://www.jstor.org/stable/2962057

5. Hull, J.C.: Options, Futures and Other Derivatives, 8th edn. Pearson, London (2011)

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1. Fast and energy-efficient derivatives risk analysis: Streaming option Greeks on Xilinx and Intel FPGAs;2022 IEEE/ACM International Workshop on Heterogeneous High-performance Reconfigurable Computing (H2RC);2022-11

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