• 09/03/2020
  • Public Content

Finance: Black-Scholes

The Black-Scholes Equation estimates the price of a European option over time. The formula itself can be used in a number of ways, the most basic of which is to use the projected value to smartly hedge the option on its underlying asset. The simulation in this sample is vectorized with Intel® C++ autovectorization and parallelized with OpenMP* Worksharing construct
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Product and Performance Information

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Intel's compilers may or may not optimize to the same degree for non-Intel microprocessors for optimizations that are not unique to Intel microprocessors. These optimizations include SSE2, SSE3, and SSSE3 instruction sets and other optimizations. Intel does not guarantee the availability, functionality, or effectiveness of any optimization on microprocessors not manufactured by Intel. Microprocessor-dependent optimizations in this product are intended for use with Intel microprocessors. Certain optimizations not specific to Intel microarchitecture are reserverd for Intel microprocessors. Please refer to the applicable product User and Reference Guides for more information regarding the specific instruction sets covered by this notice.

Notice revision #20110804