Summary: An investigation is made about the control variate method of Monte Carlo simulation to price Asian options by a stochastic volatility model with a central processing unit (CPU) cluster and graphic processing unit (GPU) devices. By taking arithmetic average Asian options with stochastic volatility under discrete monitoring time as an example, an efficient control variate is chosen, and the computing efficiencies between algorithm accelerating method and device accelerating method in CPU cluster and GPU are studied respectively. The relationship between the computation results and the parameters of the model is explored. Numerical results show that an integration of the two accelerating methods can shorten the computation time a lot.