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Binomial Options Pricing Model Code for Intel® Xeon Phi™ Coprocessor

Introduction

The Binomial Options Pricing Model (BOPM) is a generalized numerical method used to value options in the quantitative Financial Services industry. To be accurate, it is a lattice-based approach that uses a discrete-time model of the varying price over time of the underlying financial instrument. For historical reason, it’s also known as a tree model because it has a root and the leave-nodes. In this paper, we continue to follow tree-analogy convention knowing that it’s a lattice approach in reality.

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