I am looking at a paper comparing performance of two pricers: same model (based on Monte Carlo simulation) but one implemented on CPU (C++) and one implemented on GPU (Cuda)
The paper mentions the time taken to execute N paths (let's say 100k paths) in both cases. Additional information:
- CPU implementation relies on double precision, while GPU implementation relies on single precision.
- The pricers use quasi-random generator (rate of convergence close to O(1/N))
To do a "fair" comparison (i.e achieving a similar precision), shouldn't we double the number of paths for GPU pricer (single precision)?