Efficient implementation of the Heston model using GPGPU

MaRDI QIDQ5501576zbMATH OpenFDO

Authors

Publication date 4 August 2015

zbMATH Keywords

GPGPU computinglow-discrepancy sequencesoption pricing

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical algorithms for specific classes of architectures (65Y10) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Sensitivity study of Heston stochastic volatility model using GPGPU
• A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs
• Parallel algorithms for financial derivatives evaluation in generalized Heston model
• Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model
• Modeling asset price under two-factor Heston model with jumps

Cited in

(6)

• Energy aware performance study for a class of computationally intensive Monte Carlo algorithms
• Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs
• Sensitivity study of Heston stochastic volatility model using GPGPU
• On the parallel implementation of quasi-Monte Carlo algorithms
• Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models
• GPU Acceleration for Computational Finance

Describes a project that uses

Uses Software

• CUDA

This page was built for publication: Efficient implementation of the Heston model using GPGPU

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5501576)