[parsec-users] What does Black-Scholes compute?

kff at sics.se kff at sics.se
Thu Oct 30 11:57:19 EDT 2014


Hi!

I'm new to PARSEC and intend to use (some of) the programs to test my 
own work stealer Wool. Looking at Black-Scholes I get a bit confused, 
though, since the wiki (http://wiki.cs.princeton.edu/index.php/PARSEC) 
says that it computes the value of the options analytically, while at 
the same time stating that there is no closed form expression so that 
the values need to be computed numerically. Other sources say that BS 
was included as an example of a PDE solver. Looking at the code, I see 
nothing I recognize as a PDE solver, just an numerical expression 
evaluated for each option, within an outer loop which only repeats the 
identical computation a fixed number of times, presumably to offset the 
cost of I/O and initialization.

Am I missing something? Was there at one point a PDE solver that was 
simplified to this?

Cheers,

      Karl-Filip Faxén
      Sr researcher, Swedish Institute of Computer Science



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