PARSEC* 3.0 中的多线程代码优化: BlackScholes

The Black-Scholes benchmark is a one of the 13 benchmarks in the PARSEC. This benchmark does option pricing with Black-Scholes Partial Differential Equation (PDE). The Black-Scholes equation is a differential equation that describes how, under a certain set of assumptions, the value of an option changes as the price of the underlying asset changes. Based on this formula, one can compute the...
Authored by Artem G. (Intel) Last updated on 07/04/2019 - 21:42

借助 SIMD 数据布局模板优化数据布局

Financial service customers need to improve financial algorithmic performance for models such as Monte Carlo, Black-Scholes, and others. SIMD programming can speed up these workloads. In this paper, we perform data layout optimizations using two approaches on a Black-Scholes workload for European options valuation from the open source Quantlib library.
Authored by Nimisha R. (Intel) Last updated on 12/12/2018 - 18:00