A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs

DOI10.1016/J.MATCOM.2020.04.001MaRDI QIDQ1998126zbMATH OpenOpenAlexFDO

Authors Ana María Ferreiro-Ferreiro, Luis Souto, Carlos Vázquez, José Antonio García-Rodríguez

Publication date 6 March 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2020.04.001

zbMATH Keywords

calibrationdifferential evolutionglobal optimizationHestonMonte Carlomulti-GPUsimulated annealingstochastic-local volatility

Mathematics Subject Classification ID

Harmonic analysis in one variable (42Axx) Distribution theory (60Exx) Applications of statistics (62Pxx) Numerical methods in Fourier analysis (65Txx) Actuarial science and mathematical finance (91Gxx)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A comparison of biased simulation schemes for stochastic volatility models
• A novel pricing method for European options based on Fourier-cosine series expansions
• An efficient implementation of parallel simulated annealing algorithm in GPUs
• Basin hopping with synched multi L-BFGS local searches. Parallel implementation in multi-CPU and GPUs
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Global optimization of statistical functions with simulated annealing
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• Optimization by simulated annealing
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
• Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
• The Heston stochastic-local volatility model: efficient Monte Carlo simulation

Cited in

(9)

• Pricing of vulnerable options under hybrid stochastic and local volatility
• Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs
• Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU
• Sensitivity study of Heston stochastic volatility model using GPGPU
• Efficient implementation of the Heston model using GPGPU
• Pricing commodity index options
• Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
• A gradient-based calibration method for the Heston model
• Calibration of GARCH models using concurrent accelerated random search

Describes a project that uses

Uses Software

• CUDA

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