A brief example to get you started can be found in this case study.
Pricing an American Option with Monte Carlo in VBA is another Example for a substantiall speed-up.
Pricing an American Option with Monte Carlo using Matlab and Theta Suite can be accelerated substancially using Theta Site. How this is done is explained here.
Pricing an American Option with a Cox-Roth-Rubinstein (CRR) tree is a perfect example, of how much Theta Proxy can speed up your equations.