Local Volatility FX Basket Option on CPU and GPU

We study a basket option written on 10 FX rates driven by a 10 factor local volatility model. We price the option using Monte Carlo simulation and develop high performance implementations of the algorithm on a top end Intel CPU and an NVIDIA GPU. We obtain the following performance figures: Price Runtime(ms) Speedup CPU 0.5892381192 7,557.72 1.0x GPU 0.5892391192 698.28 10.83x The width of the 98% confidence interval is 0.05% of the option price. We confirm that the algorithm runs stably and accurately in single precision, and this gives a 2x performance improvement on both platforms. Lastly, we experiment with GPU texture memory and reduce the GPU runtime to 153ms. This gives a price with an error of 2.60e-7 relative to the double precision price.