A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs (Q1998126)
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scientific article; zbMATH DE number 7318111
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| English | A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs |
scientific article; zbMATH DE number 7318111 |
Statements
A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs (English)
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6 March 2021
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Heston
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stochastic-local volatility
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Monte Carlo
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calibration
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global optimization
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simulated annealing
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differential evolution
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multi-GPU
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0.8078672885894775
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0.8030185103416443
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0.7831708788871765
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0.7760303616523743
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0.773375391960144
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