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The Trading Mesh

Black-Scholes in Hardware

Jack Harvard
664 days ago,(2012/06/24)          

This article is for software engineers who are interested to understand how algorithms can be implemented in hardware. The article describes the design and implementation of the Black-Scholes model in software and hardware. The Black-Scholes model is a financial model used for pricing European call and put options. The hardware implementation of the Black-Scholes model is compared with the software implementation in C/C++. The hardware implementation of Black-Scholes in single precision floating point takes 25 clock cycles to compute a put or call option with a precision of 10e-5.

 

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