Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs (Q2227432)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs |
scientific article; zbMATH DE number 7310454
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs |
scientific article; zbMATH DE number 7310454 |
Statements
Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs (English)
0 references
15 February 2021
0 references
parallel simulated annealing
0 references
SABR volatility model
0 references
calibration
0 references
GPUs
0 references
CUDA
0 references
0 references
0.9156418
0 references
0 references
0 references
0.8883288
0 references
0.88049245
0 references
0 references
0.8727743
0 references
