> I get that calculating a zillion option prices on a GPU is faster, but does anyone actually do that? Yes. Counterparty credit risk calculations are done as

> I get that calculating a zillion option prices on a GPU is faster, but does anyone actually do that? Yes. Counterparty credit risk calculations are done as Monte Carlo simulations far into the future and on multiple scenarios on top of the baseline. It easily grows to 10^8 times of the number of valuations in the baseline scenario at present time (which itself can be millions of positions).