FPGA Application to Option Price Inversion

In financial markets options are the instruments that actively used for risk mitigation and speculations. They are used in financial engineering for model calibration. The implied volatility of the option price serves as a good indicator of the price level. To find the implied volatility corresponding to the price one has to use the numerical sophisticated algorithm. In this paper we demonstrate how FPGA acceleration cards can be used to accelerate this process. The fast speed of the price inversion and the predictable execution time allows to integrate the volatility computation into the processes which can gain from the additional information, e.g. trading decision signals, hedging cost computation