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.
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Pricing American Options with the NEC SX-Aurora TSUBASA Vector Engine
June 6, 2019 by staff
Filed Under: Coprocessors, Enterprise HPC, High Performance Analytics, HPC Hardware, HPC Software, Industry Segments, News Tagged With: ANEO, NEC, options pricing, SX-Aurora TSUBASA, v, Vector computing
