Asian Option Pricing on Intel® MIC Architecture

Li, S. and Lin, J.

In this paper, we discuss the problem of pricing one exotic option, the strong path dependent Asian option using the Black–Scholes model and compare how the pricing algorithm can be implemented on Intel® Many Integrated Core or MIC Architecture and achieve impressive performance gains. We can demonstrate that a 2-year contract with 252 times steps and 1,000,000 samples can be priced in approximately one fifth of a second on Intel® Xeon Phi™ 7120p.

Cite as: Li, S. and Lin, J. (2015). Asian Option Pricing on Intel® MIC Architecture. In Proc. 13th Australasian Symposium on Parallel and Distributed Computing (AusPDC 2015) Sydney, Australia. CRPIT, 163. Javadi, B. and Garg, S.K. Eds., ACS. 101-104

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