Sensitivity Study of Heston Stochastic Volatility Model Using GPGPU

DOI10.1007/978-3-642-29843-1_49zbMath1354.91163OpenAlexW1834573735MaRDI QIDQ2896435

Sofiya Ivanovska, Emanouil Atanassov

Publication date: 16 July 2012

Published in: Large-Scale Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-29843-1_49

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Parallel numerical computation (65Y05) Numerical algorithms for specific classes of architectures (65Y10)

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