I'm wondering if there's any point at all in double-precision calculations, or whether it's ok to just do everything in single-precision, seeing how the difference on non-Tesla GPUs for single and double-precision calculations appears to be large.
Some of the operations where this is relevant are:
- General option pricing (BS, uses numerical approximation of cumulative normal distribution)
- Calculating implied volatility (Newton-Raphson)
- Interpolating the volatility smile (Levenberg-Marquardt)
In particular I'm interested in whether initial pricing is worth doing using a 'better' CND formula rather the one with just 5 constants in it... I know there are more precise ones with lots more constants, but I've been reticent to use one so far.