Low-latency option pricing using systolic binomial trees

Abstract

This paper presents a novel reconfigurable hardware accelerator for the pricing of American options using the binomial-tree model. The proposed architecture exploits both pipeline and coarse-grain parallelism in a highly efficient and scalable systolic solution, designed to exploit the large numbers of DSP blocks in modern architectures. The architecture can be tuned at compile-time to match user requirements, from dedicating the entire FPGA to low latency calculation of a single option, to high throughput concurrent evaluation of multiple options. On a Xilinx Virtex-7 xc7vx980t FPGA this allows a single option with 768 time steps to be priced with a latency of less than 22 micro-seconds and a pricing rate of more than 100 K options/sec. Compared to the fastest previous reconfigurable implementation of concurrent option evaluation, we achieve an improvement of 65 x in latency and 9x in throughput with a value of 10.7 G nodes/sec, on a Virtex-4 xc4vsx55 FPGA.