Intel® Cilk™ Plus - Black-Scholes Sample

This is the Black-Scholes example associated with the "Intel® Cilk™ Plus – The Simplest Path to Parallelism" how-to article. It shows a black-scholes call/put calculation implemented in a serial version, and one using Intel Cilk Plus' SIMD-enabled functions to allow vectorization of a user-defined function. It demonstrates great performance with very little coding changes through both data-parallelism and task-parallelism. Sources with Microsoft Visual Studio solution you can download here.

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2 comments

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Thanks for letting us know about the bug. It has been corrected. A new version of the source code is attached.

Jennifer

anonymous's picture

Dropping by just to mention that the code contains errors - the formula for the cumulative distribution function is incorrect. In the sample code it is actually the probability density function. The correct code snippet from the cited book should be A.2.
Best

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