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.