Pricing American options on a NEC SX Aurora card

 Introduction

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.

Ever heard of the Earth-Simulator ? In late 2017, NEC announced the last of the series: the SX Aurora.

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.

Disclaimer

The tests were done in 2018.

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