  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.
