Programming Option Pricing Financial Models with Ct
نویسندگان
چکیده
Option pricing and risk assessment are important techniques in modern financial engineering. Increasingly, financial engineers are exploring how to implement computation-intensive option pricing models efficiently on evolving modern architectures. This application note describes how to use the Ct programming model to implement several option pricing models—namely, the Black-Scholes, Binomial Tree and Monte Carlo models. We demonstrate how these financial models can be ported to Ct with minimal effort in order to achieve forward-scaling high performance on Intel multi-core platforms. Contacts: [email protected], [email protected]
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