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Monte-Carlo simulation on Asian Options Pricing

This is an exercise in performance optimization on heterogeneous Intel architecture systems based on multi-core processors and manycore (MIC) coprocessors.
Autor Mike P. (Intel) Última actualización 21/03/2019 - 12:00
Article

Recipe: Monte Carlo European Option Pricing for Intel® Xeon Phi® Processor

This article covers the Monte Carlo Methods using a simple quasi random number generator.
Autor admin Última actualización 02/09/2019 - 15:25
Article

Recipe: The Black-Scholes-Merton Formula Optimization for Intel® Xeon Phi™ Processor

Financial derivative pricing is a cornerstone of quantitative finance. The most common form of financial derivatives is common stock options, which are contracts between two parties regarding buying or selling an asset (specifically shares of stock) at a certain time at an agreed price.
Autor admin Última actualización 02/09/2019 - 15:43