A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs
DOI10.1016/J.MATCOM.2020.04.001OpenAlexW3025542386MaRDI QIDQ1998126FDOQ1998126
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
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simulated annealingdifferential evolutionMonte Carloglobal optimizationcalibrationmulti-GPUHestonstochastic-local volatility
Applications of statistics (62Pxx) Actuarial science and mathematical finance (91Gxx) Harmonic analysis in one variable (42Axx) Distribution theory (60Exx) Numerical methods in Fourier analysis (65Txx)
Cites Work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Global optimization of statistical functions with simulated annealing
- Optimization by simulated annealing
- Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
- A novel pricing method for European options based on Fourier-cosine series expansions
- An efficient implementation of parallel simulated annealing algorithm in GPUs
- A comparison of biased simulation schemes for stochastic volatility models
- Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
- Mimicking the one-dimensional marginal distributions of processes having an Ito differential
- The Heston stochastic-local volatility model: efficient Monte Carlo simulation
- Basin hopping with synched multi L-BFGS local searches. Parallel implementation in multi-CPU and GPUs
- Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
Cited In (9)
- Sensitivity study of Heston stochastic volatility model using GPGPU
- Efficient implementation of the Heston model using GPGPU
- Pricing commodity index options
- Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU
- Pricing of vulnerable options under hybrid stochastic and local volatility
- A gradient-based calibration method for the Heston model
- Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
- Calibration of GARCH models using concurrent accelerated random search
- Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs
Uses Software
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