Pricing American options on a NEC SX Aurora card
Introduction to NEC Vector Engine Models
SX Aurora is the latest in the NEC family. NEC is famous for their vector supercomputers. The SX series was the first to exceed 1 gigaflop in the early 80s. It lead the famous Top500 of supercomputers in the early 90 and early 2000s.
Last year, we had the opportunity to test the new architecture and here are the results: it works quite well!
First, let’s present the machine in the next section. Then we will discuss its performances on a compute intensive benchmark. Finally will come the performances and the comparison to Intel’s Skylake.
The tests were done in 2018.