Parallel Numerical Methods in Finance
Shuo Li Intel Corporation, USA
Abstract
This chapter covers the high-performance parallel numerical methods most frequently used by C/C++ application developers in quantitative finance in the course of implementing a high-performance program that use Newton-Raphson method to find solutions to partial differential equation based on Black-Scholes model for American option pricing. Particular attention is paid to taking advantage of data locality and how to express the numerical algorithm to achieve both vector (SIMD) and core parallelism
Keywords
Approximation
SIMD parallelism
Multithreaded programming
Performance
Optimization
Overview
In the realm of scientific calculations, many problems ...
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