Pages that link to "Item:Q1998126"
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The following pages link to A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs (Q1998126):
Displaying 7 items.
- Calibration of GARCH models using concurrent accelerated random search (Q905332) (← links)
- Pricing of vulnerable options under hybrid stochastic and local volatility (Q2137228) (← links)
- Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs (Q2227432) (← links)
- Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU (Q2244180) (← links)
- Pricing commodity index options (Q6158400) (← links)
- Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk (Q6625108) (← links)
- A gradient-based calibration method for the Heston model (Q6625126) (← links)