Many-core Programming with Asian Option Pricing

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 map into different many-core architectures and achieve equally impressive performance gains. In the end, we will show 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 two leading many-core architectures. The purpose of this paper is to understand what is required to power the numerical-intensive algorithms in quantitative finance and how to extract and express parallelism inherent in many other similar algorithms in quantitative Finance.