A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs

DOI10.1016/j.matcom.2020.04.001OpenAlexW3025542386MaRDI QIDQ1998126

Carlos Vázquez, Ana María Ferreiro-Ferreiro, Luis Souto, José A. García-Rodríguez

Publication date: 6 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2020.04.001

zbMATH Keywords

global optimizationMonte Carlosimulated annealingcalibrationdifferential evolutionmulti-GPUHestonstochastic-local volatility

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Actuarial science and mathematical finance (91Gxx) Harmonic analysis in one variable (42Axx) Distribution theory (60Exx) Numerical methods in Fourier analysis (65Txx)

Related Items (3)

Pricing of vulnerable options under hybrid stochastic and local volatility ⋮ Pricing commodity index options ⋮ Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU

Uses Software

• CUDA

Cites Work

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