Algorithm 659: Implementing Sobol's quasirandom sequence generator
ACM Transactions on Mathematical Software (TOMS)
Fast pseudorandom generators for normal and exponential variates
ACM Transactions on Mathematical Software (TOMS)
Maximally equidistributed combined Tausworthe generators
Mathematics of Computation
Programming with POSIX threads
Programming with POSIX threads
Mersenne twister: a 623-dimensionally equidistributed uniform pseudo-random number generator
ACM Transactions on Modeling and Computer Simulation (TOMACS) - Special issue on uniform random number generation
OpenMP: An Industry-Standard API for Shared-Memory Programming
IEEE Computational Science & Engineering
Seeds for random number generators
Communications of the ACM - Wireless networking security
Practical fpga programming in c
Practical fpga programming in c
Mersenne Twister Random Number Generation on FPGA, CPU and GPU
AHS '09 Proceedings of the 2009 NASA/ESA Conference on Adaptive Hardware and Systems
Impulse C vs. VHDL for Accelerating Tomographic Reconstruction
FCCM '10 Proceedings of the 2010 18th IEEE Annual International Symposium on Field-Programmable Custom Computing Machines
IEEE Transactions on Parallel and Distributed Systems
Efficient reconfigurable design for pricing asian options
ACM SIGARCH Computer Architecture News
Generating low-discrepancy sequences from the normal distribution: Box-Muller or inverse transform?
Mathematical and Computer Modelling: An International Journal
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In this paper we present an FPGA implementation of a Monte-Carlo method for pricing Asian options using Impulse C and floating-point arithmetic. In an Altera Stratix-V FPGA, a 149x speedup factor was obtained against an OpenMP-based solution in a 4-core Intel Core i7 processor. This speedup is comparable to that reported in the literature using a classic HDL-based methodology, but the development time is significantly reduced. Additionally, the use of a HLL-based methodology allowed us to implement a high-quality Gaussian random number generator, which produces more precise results than those obtained with the simple generators usually present in HDL-based designs.