Monte-Carlo Black-Scholes Implementation using OpenCL Standard

Chirag Patel; M  Srikanth; Kalyani Chetan Kumar and S  Sivanantham  nbsp

doi:10.17485/ijst/2015/v8i36/90318

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Monte-Carlo Black-Scholes Implementation using OpenCL Standard

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Indian Journal of Science and Technology

DOI: 10.17485/ijst/2015/v8i36/90318

Year: 2015, Volume: 8, Issue: 36, Pages: 1-5

Original Article

Monte-Carlo Black-Scholes Implementation using OpenCL Standard

Chirag Patel, M. Srikanth, Kalyani Chetan Kumar and S. Sivanantham^*

School of Electronics Engineering, VIT University, Vellore - 632014, Tamil Nadu, India; [email protected]

This work is licensed under a Creative Commons Attribution 4.0 International License.

Abstract

The OpenCL is a standard parallel language which is based on ‘C’ language. It offers users to take full advantage and also provide the flexibility of high level language. In this paper, we explore the use of OpenCL language to implement the complex design on FPGAs by describing the design with high level abstraction language. To demonstrate, we consider the most important benchmarks in financial markets known as Monte-Carlo Black-Scholes implementation to estimate the stock price option
Keywords: Embedded Unit, FPGA Implementation, Kernel, Monte-Carlo Simulation, OpenCL Standard