Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs (Q2227432)
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scientific article; zbMATH DE number 7310454
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| English | Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs |
scientific article; zbMATH DE number 7310454 |
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Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs (English)
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15 February 2021
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parallel simulated annealing
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SABR volatility model
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calibration
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GPUs
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CUDA
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0.9156418
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0.8883288
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0.88049245
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0.8727743
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