A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs
type: Item
instance of: scholarly article
title: A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs
author: Ana María Ferreiro-Ferreiro
author: Luis Souto
author: Carlos Vázquez
author: José Antonio García-Rodríguez
published in: Mathematics and Computers in Simulation
publication date: 2021-03-06T00:00:00Z
Mathematics Subject Classification ID: 62Pxx
Mathematics Subject Classification ID: 91Gxx
Mathematics Subject Classification ID: 42Axx
Mathematics Subject Classification ID: 65Txx
Mathematics Subject Classification ID: 60Exx
zbMATH DE Number: 7318111
zbMATH Keywords: Heston
zbMATH Keywords: stochastic-local volatility
zbMATH Keywords: Monte Carlo
zbMATH Keywords: calibration
zbMATH Keywords: global optimization
zbMATH Keywords: simulated annealing
zbMATH Keywords: differential evolution
zbMATH Keywords: multi-GPU
describes a project that uses: CUDA
MaRDI profile type: Publication
full work available at URL: j.matcom.2020.04.001
OpenAlex ID: W3025542386
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DOI: 10.1016/J.MATCOM.2020.04.001
description: scientific article; zbMATH DE number 7318111