The Stochastic Alpha, Beta, Rho (SABR) volatility model is a popular approach to model the volatility smile. This article presents benchmarks of implementations of the asymptotic solution of the model for the volatility and volatility adjoint of a vanilla European option.

The Black formula is arguably the most important function in quantitative finance, and is either used directly (for pricing) or indirectly (for quotation), in most pricing calls. This article presents benchmarks for evaluating the formula.

A data parallel operation is one in which the same function is applied to different inputs. Vectorizing data parallel operations is an important problem with applications in market risk, full portfolio evaluation and numerical schemes. This article compares different approaches for vectorizing the Black Scholes formula for a call option.