{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/derivatives-sensitivities-computation-under-1","title":"Derivatives Sensitivities Computation under Heston Model on GPU","arxiv_id":"2309.10477","date":"2023-09-19","proceeding":"SSRN 2023 9","authors":["Pierre-Antoine Arsaguet","Paul Bilokon"],"abstract":"This report investigates the computation of option Greeks for European and Asian options under the Heston stochastic volatility model on GPU. We first implemented the exact simulation method proposed by Broadie and Kaya and used it as a baseline for precision and speed. We then proposed a novel method for computing Greeks using the Milstein discretisation method on GPU. Our results show that the proposed method provides a speed-up up to 200x compared to the exact simulation implementation and that it can be used for both European and Asian options. However, the accuracy of the GPU method for estimating Rho is inferior to the CPU method. Overall, our study demonstrates the potential of GPU for computing derivatives sensitivies with numerical methods.","url_abs":"https://arxiv.org/abs/2309.10477v1","url_pdf":"https://arxiv.org/pdf/2309.10477v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"derivatives-sensitivities-computation-under-1","repo_url":"https://github.com/pierreia/QMCHestonGPU","is_official":0,"mentioned_in_paper":1,"mentioned_in_github":0,"framework":"none","reach":null}],"tasks":[{"task_slug":null,"task_name":"CPU"},{"task_slug":null,"task_name":"GPU"},{"task_slug":"model","task_name":"model"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":null,"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}