F# Black-Scholes running on GPUs and SSE3 Multicore Processors using Accelerator

The Accelerator library from Microsoft helps us write code which can execute on GPUs and multicore processors using SSE3 vector instructions. There is also an experimental FPGA target. To illustrate data-parallel programming in F# using Accelerator I show below  an implementation of the Black-Scholes computation which is based on the sample from the CUDA SDK…

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