Sensitivity study of Heston stochastic volatility model using GPGPU

DOI10.1007/978-3-642-29843-1_49zbMATH Open1354.91163OpenAlexW1834573735MaRDI QIDQ2896435FDOQ2896435

Authors: Emanouil Atanassov, Sofiya Ivanovska 

Publication date: 16 July 2012

Published in: Large-Scale Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-29843-1_49

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Mathematics Subject Classification ID

Parallel numerical computation (65Y05) Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Numerical algorithms for specific classes of architectures (65Y10)

Cited In (3)

• Efficient implementation of the Heston model using GPGPU
• A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs
• Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs

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