Optimization of Binomial Option Pricing on Intel MIC Heterogeneous System

摘要

In these years, computerization has been more and more important in the financial area. The computational intensity and realtime constraints of those financial models require high-throughput parallel architectures. In this paper, optimization of widely-used binomial option pricing model has been implemented on the worlds largest supercomputer, Tianhe-2. In our work, we employ several optimizing techniques to efficiently utilize the architecture of Intel MIC heterogeneous system to improve the performance. The experimental results show that, compared with the serial implementation, the optimized binomial option pricing achieves 33X speedup on one Intel Xeon CPU and 61X speedup on one Intel Xeon Phi coprocessor. Further experiments on Intel MIC heterogeneous system indicate that our implementation attains a speedup factor of 254 on one Tianhe-2 computing node.