Method and system for high speed options pricing
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United States of America Patent
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Nov 23, 2010
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app pub date -
Jun 8, 2007
filing date -
Jun 19, 2006
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Abstract
A high speed technique for options pricing in the financial industry is disclosed that can provide both high throughput and low latency. A parallel/pipelined architecture is disclosed for computing an implied volatility in connection with an option. Parallel/pipelined architectures are also disclosed for computing an option's theoretical fair price. Preferably these parallel/pipelined architectures are deployed in hardware, and more preferably reconfigurable logic such as Field Programmable Gate Arrays (FPGAs) to accelerate the options pricing operations relative to conventional software-based options pricing operations.
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