CALCULATIONS OPTIMIZATION IN APPLIED SOFTWARE IN C LANGUAGE ON THE EXAMPLE OF EUROPEAN OPTION PRICING

Бастраков С. И., R. . Donchenko, I. . Meerov, A. . Polovinkin


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Abstract

This paper deals with optimization of applied computational programs in C. The main purpose of optimization in this case is the effective utilization of available computational resources. The study is performed on the example of European call option pricing. We use widespread Heath-Jarrow-Morton (HJM) model for evolution of the forward rate curve. The effectiveness of the proposed approach is confirmed by computational experiments.


Keywords: software optimization, multicore architectures, financial mathematics
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