ListarGI-M2NICA - Artigos por tema "SABR volatility model"

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

      Fernández, J. L.; Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio; Leitao, Álvaro; López Salas, José Germán; Vázquez, Carlos (Elsevier, 2013-08)
      [Abstract]: For the calibration of the parameters in static and dynamic SABR stochastic volatility models, we propose the application of the GPU technology to the Simulated Annealing global optimization algorithm and to ...