Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs

DOI10.1016/j.matcom.2013.05.007zbMath1499.91136OpenAlexW2066948482MaRDI QIDQ2227432

José Lúis Fernandez Perez, Álvaro Leitao, Carlos Vázquez, Ana M. Ferreiro, José G. López-Salas, José A. García-Rodríguez

Publication date: 15 February 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.2013.05.007

zbMATH Keywords

calibrationCUDAGPUsparallel simulated annealingSABR volatility model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

SABR/LIBOR market models: pricing and calibration for some interest rate derivatives ⋮ Full and fast calibration of the Heston stochastic volatility model

Uses Software

• CUDA

Cites Work

• The Pricing of Options and Corporate Liabilities
• An efficient implementation of parallel simulated annealing algorithm in GPUs
• A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL
• FORWARD AND FUTURE IMPLIED VOLATILITY
• Calibration of the SABR Model in Illiquid Markets
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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