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This report investigates the computation of option Greeks for European andAsian options under the Heston stochastic volatility model on GPU. We firstimplemented the exact simulation method proposed by Broadie and Kaya and usedit as a baseline for precision and speed. We then proposed a novel method forcomputing Greeks using the Milstein discretisation method on GPU. Our resultsshow that the proposed method provides a speed-up up to 200x compared to theexact simulation implementation and that it can be used for both European andAsian options. However, the accuracy of the GPU method for estimating Rho isinferior to the CPU method. Overall, our study demonstrates the potential ofGPU for computing derivatives sensitivies with numerical methods.

Derivatives Sensitivities Computation under Heston Model on GPU