Parallel simulation of high-dimensional American option pricing based on CPU versus MIC

摘要

American option pricing is a high-dimensional problem, and its computational challenges have attractedrnsignificant attention.We examine this problem using a stochastic mesh method enhanced with bias reductionrnwithin the classic Black–Scholes framework. We present Many Integrated Core (MIC) parallelization andrnacceleration techniques, which result in significant numerical acceleration for large-scale simulations. Inrnparticular, we observe speed-ups of 21-fold and 28-fold for CPU and MIC, respectively, over conventionalrnmeans.