most citedBlack-Scholes Option Pricing on Intel CPUs and GPUs: Implementation on SYCL and Optimization Techniques

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cs.DC2022★ 1 cited

Black-Scholes Option Pricing on Intel CPUs and GPUs: Implementation on SYCL and Optimization Techniques

Elena Panova, Valentin Volokitin, Anton Gorshkov +1

The Black-Scholes option pricing problem is one of the widely used financial benchmarks. We explore the possibility of developing a high-performance portable code using the SYCL (D…