Abstract
In this paper, we discuss the problem of pricing one exotic option, the strong path dependent Asian option using the Black -- Scholes model and compare how the pricing algorithm can map into different many-core architectures and achieve equally impressive performance gains. In the end, we will show that a 2-year contract with 252 times steps and 1,000,000 samples can be priced in approximately one fifth of a second on two leading many-core architectures.The purpose of this paper is to understand what is required to power the numerical-intensive algorithms in quantitative finance and how to extract and express parallelism inherent in many other similar algorithms in quantitative Finance.
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