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 option price analytically based on the five input parameters. Using this analytical approach to price option, the limiting factor lies with the amount of floating-point calculation a processor can perform.
(This work was done by Vivek Lingegowda during his internship at Intel.)