Black-Scholes Option Pricing on Intel CPUs and GPUs: Implementation on SYCL and Optimization Techniques
We show how to develop a portable optimized Black-Scholes option pricing code on SYCL. We start from
Speaker(s)
Valentin Volokitin
Valentin Volokitin is a PhD student at Lobachevsky State University of Nizhny Novgorod. He is a software engineer in the department of Mathematical software and supercomputing technologies. His research interests include high performance computing, performance analysis and optimization, computer architectures, scientific software development.
Anton Gorshkov
Anton Gorshkov received a PhD in Computer Science from the Alekseev State Technical University of Nizhny Novgorod, Russia in 2014. He is associate professor at Lobachevsky State University and software engineer at Intel Corporation. His current research interests include computer architectures, software performance analysis and optimization.
Iosif Meyerov
Iosif Meyerov received a PhD in Applied Mathmatics and Computer Science from the Lobachevsky State University of Nizhny Novgorod (2005). He is deputy head of the department (2009), head of the oneAPI Center of Excellence (2021). Research interests include high performance computing, performance analysis and optimization, computational science, scientific software development.
