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Optimization of Binomial Option Pricing on Intel MIC Heterogeneous System

  • Weihao LiangEmail author
  • Hong An
  • Feng Li
  • Yichao ChengEmail author
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 9530)

Abstract

In these years, computerization has been more and more important in the financial area. The computational intensity and real-time 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 speed-up factor of 254 on one Tianhe-2 computing node.

Keywords

Binomial option pricing MIC Parallel process Heterogeneous system Optimization 

Notes

Acknowledgments

We thank the anonymous reviewers for their valuable comments. This work is supported financially by the National Hi-tech Research and Development Program of China under contracts 2012AA010902.

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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  1. 1.School of Computer Science and TechnologyUniversity of Science and Technology of ChinaHefeiChina

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