Sensitivity study of Heston stochastic volatility model using GPGPU

DOI10.1007/978-3-642-29843-1_49MaRDI QIDQ2896435zbMATH OpenOpenAlexFDO

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

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)

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(3)

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

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