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.

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.