Category: OpenCL™
Tools: Intel® FPGA SDK for OpenCL™
device:-


There is a Monte Carlo simulation in the OpenCL™ example code.
　
The Monte Carlo method is a method of simulating things that cannot be predicted in advance, and requires a high-precision random number generator to simulate possible paths. is one of

We use the Mersenne Twister pseudo-random sequence generator in this process.
mersenne_twister_generate(ulong N) in asian_option.cl is the corresponding kernel.

Monte Carlo Black-Scholes Asian Options Pricing Design Example
https://www.altera.com/support/support-resources/design-examples/design-software/opencl/black-scholes.html