Intel, Math Kernel Library Cookbook, here.
The Intel® Math Kernel Library (Intel® MKL) contains many routines to help you solve various numerical problems, such as multiplying matrices, solving a system of equations, and performing a Fourier transform. While many problems do not have dedicated Intel MKL routines, you can solve them by assembling the building blocks provided by Intel MKL.
look at this, here.
Using the Black-Scholes formula for European options pricing speeds up Black-Scholes computation of European options pricing with Intel MKL vector math functions.
Intel .zips the code for you