Pricing American Options with the NEC SX-Aurora TSUBASA Vector Engine
by staff from High-Performance Computing News Analysis | insideHPC on (#4GMT3)
The Aldwin division of ANEO is now working together with NEC to leverage the leading-edge vector technology of SX-Aurora TSUBASA for porting and optimizing Aldwin's in-house software for American option pricing. The code is implemented in C++17 and designed to capitalize on the full capabilities of both scalar and vector architectures. It uses OpenMP to multithread the application, while the vectorization is implemented using the Eigen library.
The post Pricing American Options with the NEC SX-Aurora TSUBASA Vector Engine appeared first on insideHPC.