src/parsec/disk-image/parsec/parsec-benchmark/pkgs/apps/blackscholes/src/README - public/gem5-resources - Git at Google

 Name:  Black Scholes

 Description: The Black-Scholes equation is a differential equation that
 describes how, under a certain set of assumptions, the value of an option
 changes as the price of the underlying asset changes.

 The formula for a put option is similar. The cumulative normal distribution
 function, CND(x), gives the probability that normally distributed random
 variable will have a value less than x. There is no closed form expression for
 this function, and as such it must be evaluated numerically. Alternatively,
 the values of this function may be pre-computed and hard-coded in the table; in
 this case, they can be obtained at runtime using table lookup. We compare both
 of these approaches in our work. The other parameters are as follows:
 S underlying asset.s current price, X the strike price, T time to the
 expiration date, r risk-less rate of return, and v stock.s volatility.

 Based on this formula, one can compute the option price analytically based on
 the five input parameters.  Using this analytical approach to price option,
 the limiting factor lies with the amount of floating-point calculation a
 processor can perform.

 Parallelization: Our parallelization algorithms is very simple: we simply price
 multiple options in parallel using Black-Scholes formula. Each thread prices an
 individual option. In practice financial houses price 10.s to 100.s of thousandsof options using Black-Scholes.

 =======================================
 Programming Languages & Libraries:

 C/C++ and Pthread is used to implement this benchmark.

 =======================================
 System requirements:

  1) Intel(R) C++ Compiler: version 9.0 or higher
  2) GNU gcc/g++: version 3.3 or higher
  3) sed: version 4.0.9 or higher recommended.
 The minimum required memory size is 140 MBytes.
 =======================================
 Input/Output:
 The input data file of this benchmark includes an array of data of
 options.

 The output benchmark will output the price of the options based on the five
 input parameters in the dataset file.


 =======================================
 Characteristics:

 (1) Hotspot
 Hotspot of the benchmark includes computing the price of options using
 black scholes formula and  the cumulative normal distribution function.
 They are implemented in BlkSchlsEqEuroNoDiv and CNDF in "bs.c" respectly.

 =======================================
 Revision History

 Date: Person-making-revision  brief-description-of-revision

 =======================================
 Author: Victor Lee, Mikhail Smelyanskiy

 Acknowledgements:

 References:
 [Black73] Black, Fischer, and M. Scholes. The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81:637--659, May--June 1973.
	Name: Black Scholes

	Description: The Black-Scholes equation is a differential equation that
	describes how, under a certain set of assumptions, the value of an option
	changes as the price of the underlying asset changes.

	The formula for a put option is similar. The cumulative normal distribution
	function, CND(x), gives the probability that normally distributed random
	variable will have a value less than x. There is no closed form expression for
	this function, and as such it must be evaluated numerically. Alternatively,
	the values of this function may be pre-computed and hard-coded in the table; in
	this case, they can be obtained at runtime using table lookup. We compare both
	of these approaches in our work. The other parameters are as follows:
	S underlying asset.s current price, X the strike price, T time to the
	expiration date, r risk-less rate of return, and v stock.s volatility.

	Based on this formula, one can compute the option price analytically based on
	the five input parameters. Using this analytical approach to price option,
	the limiting factor lies with the amount of floating-point calculation a
	processor can perform.

	Parallelization: Our parallelization algorithms is very simple: we simply price
	multiple options in parallel using Black-Scholes formula. Each thread prices an
	individual option. In practice financial houses price 10.s to 100.s of thousandsof options using Black-Scholes.

	=======================================
	Programming Languages & Libraries:

	C/C++ and Pthread is used to implement this benchmark.

	=======================================
	System requirements:

	1) Intel(R) C++ Compiler: version 9.0 or higher
	2) GNU gcc/g++: version 3.3 or higher
	3) sed: version 4.0.9 or higher recommended.
	The minimum required memory size is 140 MBytes.
	=======================================
	Input/Output:
	The input data file of this benchmark includes an array of data of
	options.

	The output benchmark will output the price of the options based on the five
	input parameters in the dataset file.


	=======================================
	Characteristics:

	(1) Hotspot
	Hotspot of the benchmark includes computing the price of options using
	black scholes formula and the cumulative normal distribution function.
	They are implemented in BlkSchlsEqEuroNoDiv and CNDF in "bs.c" respectly.

	=======================================
	Revision History

	Date: Person-making-revision brief-description-of-revision

	=======================================
	Author: Victor Lee, Mikhail Smelyanskiy

	Acknowledgements:

	References:
	[Black73] Black, Fischer, and M. Scholes. The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81:637--659, May--June 1973.