• 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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Notice revision #20110804