[parsec-users] Output of Blackscholes correct ?

Olivier Temam olivier.temam at inria.fr
Mon May 23 12:09:05 EDT 2011


Hi,

  I am looking into the output of Blackscholes because I need to compare
this algorithm against another algorithm performing similar option pricing
predictions (and then compare their performance/implementation).
  In order to see how good the current implementation of Blackscholes was, I
#define ERR_CHK and I was surprised with the very large number of errors
(99.99%) as defined by the test, later on in the code ("fabs(priceDelta) >=
1e-5"). Assuming the current implementation is correct, what parameters
should be changed in order to get a reasonable amount of errors (and thus
decent outputs) ?

Thanks in advance,
Olivier

P.S: The commands I used (I tried with various inputs):
bin/parsecmgmt -a build -p blackscholes -c gcc-serial
bin/parsecmgmt -a run -p blackscholes -i simsmall -c gcc-serial
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