GPU is comming to .NET

[KaiRu]

InfoQ: Targeting the GPU with GPU.NET - new product has arived (it's still beta though)

The resulting assemblies are pre-processed with an Assembly Processor which injects references to the GPU.NET runtime which in turns compiles the assemblies into native code and manages its execution on existing GPU devices. If not GPU device is found in a system then the execution falls back on the CPU.

Our runtime uses a plugin architecture for its hardware support. At the release of the beta, we’ll only have a plugin for nVidia CUDA-capable hardware, but we’re collaborating with AMD on a plugin to support their hardware as well (which we’ll make available sometime towards the end of our beta period, but before the release of v1.0)

Neat tutorial on how to start:
Tutorial: Your First GPU.NET Application | TidePowerd

Implementation of BlackScholes is also availabe among few examples:
CSharp.BlackScholes at master from tidepowerd's GPU.NET-Example-Projects - GitHub