{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,8,12]],"date-time":"2024-08-12T17:14:57Z","timestamp":1723482897005},"reference-count":20,"publisher":"Springer Science and Business Media LLC","issue":"1","license":[{"start":{"date-parts":[[2010,11,25]],"date-time":"2010-11-25T00:00:00Z","timestamp":1290643200000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J Sign Process Syst"],"published-print":{"date-parts":[[2012,4]]},"DOI":"10.1007\/s11265-010-0550-1","type":"journal-article","created":{"date-parts":[[2010,11,24]],"date-time":"2010-11-24T10:31:52Z","timestamp":1290594712000},"page":"79-91","source":"Crossref","is-referenced-by-count":5,"title":["Implementation of the Longstaff and Schwartz American Option Pricing Model on FPGA"],"prefix":"10.1007","volume":"67","author":[{"given":"Xiang","family":"Tian","sequence":"first","affiliation":[]},{"given":"Khaled","family":"Benkrid","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2010,11,25]]},"reference":[{"key":"550_CR1","volume-title":"Option, futures, and other derivatives","author":"JC Hull","year":"2000","unstructured":"Hull, J. C. (2000). Option, futures, and other derivatives (4th ed.). Upper Saddle River: Prentice Hall.","edition":"4"},{"key":"550_CR2","volume-title":"Monte Carlo methods in financial engineering","author":"P Glasserman","year":"2004","unstructured":"Glasserman, P. (2004). Monte Carlo methods in financial engineering. New York: Springer-Verlag."},{"key":"550_CR3","doi-asserted-by":"crossref","first-page":"113","DOI":"10.1093\/rfs\/14.1.113","volume":"14","author":"FA Longstaff","year":"2001","unstructured":"Longstaff, F. A., & Schwartz, E. S. (2001). Valuing American options by simulation: a simple least-squares approach. Review of Financial Studies, 14, 113\u2013147.","journal-title":"Review of Financial Studies"},{"key":"550_CR4","doi-asserted-by":"crossref","first-page":"1","DOI":"10.21314\/JCF.1999.041","volume":"3","author":"L Andersen","year":"2000","unstructured":"Andersen, L. (2000). A simple approach to the pricing of Bermudan Swaptions in the multifactor LIBOR market model. Journal of Computational Finance, 3, 1\u201332.","journal-title":"Journal of Computational Finance"},{"key":"550_CR5","doi-asserted-by":"crossref","first-page":"1222","DOI":"10.1287\/mnsc.1040.0258","volume":"50","author":"L Andersen","year":"2004","unstructured":"Andersen, L., & Broadie, M. (2004). Primal-dual simulation algorithm for pricing multidimensional American options. Management Science, 50, 1222\u20131234.","journal-title":"Management Science"},{"key":"550_CR6","unstructured":"Xilinx. Virtex-4 Family Overview, Product Specification [Online]. Available: http:\/\/www.xilinx.com ."},{"key":"550_CR7","unstructured":"J\u00e4ckel, P. (2002). Monte Carlo methods in finance. Wiley."},{"key":"550_CR8","doi-asserted-by":"crossref","unstructured":"Niederreiter, H. (1992). Random number generation and Quasi-Monte Carlo Methods. Society for Industrial and Applied Mathematics.","DOI":"10.1137\/1.9781611970081"},{"key":"550_CR9","unstructured":"Press, W. H., et al. (1992). Numerical recipes in C: The art of scientific computing, 2 edn. Cambridge University Press."},{"key":"550_CR10","unstructured":"Podlozhnyuk, V., & Harris, M. Monte Carlo option pricing [Online]."},{"key":"550_CR11","unstructured":"Thomas, D. B. et al. (2009). A comparison of CPUs, GPUs, FPGAs, and massively parallel processor arrays for random number generation. In: International Symposium on Field Programmable Gate Arrays, pp. 63\u221272."},{"key":"550_CR12","first-page":"83","volume":"45","author":"JA Tilley","year":"1993","unstructured":"Tilley, J. A. (1993). Valuing American options in a path simulation model. Transactions of the Society of Actuaries, 45, 83\u2013104.","journal-title":"Transactions of the Society of Actuaries"},{"key":"550_CR13","unstructured":"Zhang, G. L., et al. (2005). Reconfigurable acceleration for Monte Carlo based financial simulation. In: Field-programmable technology, 2005. Proceedings. 2005 IEEE International Conference on, pp. 215\u2212222)."},{"key":"550_CR14","unstructured":"Thomas, D. B., et al. (2006). Hardware architectures for Monte-Carlo based financial simulations. In: Field programmable technology, 2006. FPT 2006. IEEE International Conference on, pp. 377\u2212380."},{"key":"550_CR15","unstructured":"Tian, X., & Benkrid, K. (2008). Massively parallelized Quasi-Monte Carlo financial simulation on a FPGA supercomputer. In: High-performance reconfigurable computing technology and applications, 2008. HPRCTA 2008. Second International Workshop on, pp. 1\u22128."},{"key":"550_CR16","unstructured":"Woods, N. A., & VanCourt, T. (2008). FPGA acceleration of quasi-Monte Carlo in finance. In: Field programmable logic and applications, 2008. FPL 2008. International Conference on, pp. 335\u2212340."},{"key":"550_CR17","doi-asserted-by":"crossref","unstructured":"Jin, Q., et al. (2008). Exploring reconfigurable architectures for binomial-tree pricing models. Lecture Notes in Computer Science, 245\u2212255.","DOI":"10.1007\/978-3-540-78610-8_24"},{"key":"550_CR18","unstructured":"Choudhury, A. R., et al. (2008). Optimizations in financial engineering: The Least-Squares Monte Carlo method of Longstaff and Schwartz. In: Parallel and distributed processing, 2008. IPDPS 2008. IEEE International Symposium on, pp. 1\u221211."},{"key":"550_CR19","unstructured":"Cheung, R. C. C., et al. (Aug. 2007). Hardware generation of arbitrary random number distributions from uniform distributions via the inversion method. Very Large Scale Integration (VLSI) systems, IEEE Transactions on, pp. 952\u2212962."},{"key":"550_CR20","first-page":"13","volume":"18","author":"K Entacher","year":"2003","unstructured":"Entacher, K., et al. (2003). Defects in parallel Monte Carlo and quasi-Monte Carlo in tegration using the leap-frog technique. International Journal of Parallel, Emergent and Distributed Systems, 18, 13\u201326.","journal-title":"International Journal of Parallel, Emergent and Distributed Systems"}],"container-title":["Journal of Signal Processing Systems"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s11265-010-0550-1.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s11265-010-0550-1\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s11265-010-0550-1","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,6,6]],"date-time":"2019-06-06T10:21:48Z","timestamp":1559816508000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s11265-010-0550-1"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2010,11,25]]},"references-count":20,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2012,4]]}},"alternative-id":["550"],"URL":"https:\/\/doi.org\/10.1007\/s11265-010-0550-1","relation":{},"ISSN":["1939-8018","1939-8115"],"issn-type":[{"value":"1939-8018","type":"print"},{"value":"1939-8115","type":"electronic"}],"subject":[],"published":{"date-parts":[[2010,11,25]]}}}