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High Performance Parallelism Pearls Volume One by James Jeffers, James Reinders

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Chapter 19

Performance Optimization of Black-Scholes Pricing

Iosif Meyerov*; Alexander Sysoyev*; Nikita Astafiev; Ilya Burylov    * Lobachevsky State University of Nizhni Novgorod, Russia Intel, Russia

Abstract

In this work we present our experience of optimization for Intel Xeon and Intel Xeon Phi. Calculation of fair prices of the set of European options is considered as the basic task. We have chosen this task for the following reasons. First, this task is traditionally used as a benchmark for checking of capabilities of new architectures. Second, it is one of the basic tasks of financial markets analysis, which undoubtedly belongs to the domain of HPC and is of a great practical interest. Third, this task and methods of its completion ...

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