A new calibration of the Heston Stochastic Local Volatility Model and its parallel implementation on GPUs

  1. Ferreiro-Ferreiro, A.M.
  2. García-Rodríguez, J.A.
  3. Souto, L.
  4. Vázquez, C.
Journal:
Mathematics and Computers in Simulation

ISSN: 0378-4754

Year of publication: 2020

Volume: 177

Pages: 467-486

Type: Article

DOI: 10.1016/J.MATCOM.2020.04.001 GOOGLE SCHOLAR

Sustainable development goals

Data source: Scopus