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Monte Carlo sims for options pricing? I've done this before on FPGA, might have a go at doing it for this instance as a fun exercise to test the concept!
by scott_wilson46 10y ago
Monte Carlo sims for options pricing? I've done this before on FPGA, might have a go at doing it for this instance as a fun exercise to test the concept!
- dx034 10y agoNot sure if that makes sense with the offer that Amazon has. The machines are huge, so either you're pricing a huge amount of options at a very high speed (which you'd probably do in-house with FPGAs that you own), or you'll be much cheaper using a good machine locally. Never found MC sims to be a bottleneck regarding time, but YMMV I guess?
- scott_wilson46 10y agoI've heard (although admittedly never seen in practice) that some places take a long time for this sort of things (running over a cluster of computers overnight). If you could do the same job on a single F1 instance in say an hour then I think that would be compelling! Bearing in mind that simple experiments I did showed an improvement of around 100x for this sort of task over a GPU.