Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs
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DOI: 10.1016/j.matcom.2013.05.007
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References listed on IDEAS
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Cited by:
- Cui, Yiran & del Baño Rollin, Sebastian & Germano, Guido, 2017.
"Full and fast calibration of the Heston stochastic volatility model,"
European Journal of Operational Research, Elsevier, vol. 263(2), pages 625-638.
- Yiran Cui & Sebastian del Ba~no Rollin & Guido Germano, 2015. "Full and fast calibration of the Heston stochastic volatility model," Papers 1511.08718, arXiv.org, revised May 2016.
- Cui, Yiran & del Baño Rollin, Sebastian & Germano, Guido, 2017. "Full and fast calibration of the Heston stochastic volatility model," LSE Research Online Documents on Economics 83754, London School of Economics and Political Science, LSE Library.
- Eudald Romo & Luis Ortiz-Gracia, 2021. "SWIFT calibration of the Heston model," Papers 2103.01570, arXiv.org.
- Tianyao Chen & Xue Cheng & Jingping Yang, 2019. "Common Decomposition of Correlated Brownian Motions and its Financial Applications," Papers 1907.03295, arXiv.org, revised Nov 2020.
- A. M. Ferreiro & J. A. Garc'ia & J. G. L'opez-Salas & C. V'azquez, 2024. "SABR/LIBOR market models: pricing and calibration for some interest rate derivatives," Papers 2408.01470, arXiv.org.
- Eudald Romo & Luis Ortiz-Gracia, 2021. "SWIFT Calibration of the Heston Model," Mathematics, MDPI, vol. 9(5), pages 1-20, March.
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Keywords
Parallel Simulated Annealing; SABR volatility model; Calibration; GPUs; CUDA;All these keywords.
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