To answer my own question, a PhD thesis by Yipeng Huang [1] from 2018 discusses shortly a comparison of a simple Black-Scholes example using Euler-Maruyama and

To answer my own question, a PhD thesis by Yipeng Huang [1] from 2018 discusses shortly a comparison of a simple Black-Scholes example using Euler-Maruyama and an analog computer (chip). Although the analog system seems to be a bit faster in principle, it suffers from drift and other issues and has to be frequently recalibrated. Also, the accuracy is worse than the digital version. Nevertheless, this seems to be quite interesting and looks like it can be further improved. [1] http://yipenghuang.com/wp-content/uploads/2018/09/Huang_columbia_0054D_14506.pdf http://yipenghuang.com/wp-content/uploads/2018/09/Huang_colu...