Acceleration of the Strike Calculation for Foreign Exchange Options Using FPGA

Traditionally GPU and multi-core CPUs are used for task parallelism. In recent years the use of FPGA for Monte Carlo simulation had been researched. The strength of FPGA lies in the pipeline parallelism which can be beneficial not only for Monte Carlo simulations. In this paper we demonstrate that the pipeline parallelism of Newton method can be efficiently implemented on FPGA cards. We apply Newton method to determine the strike of the foreign exchange options when the convention is to include the premium in delta quotation. Moreover, we improve the initial guess of the iterative method through the Taylor expansion of the delta equation