most citedAn efficient implementation of parallel simulated annealing algorithm in GPUs

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math.OC2024★ 14 cited

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

J. L. Fernández, A. M. Ferreiro, J. A. García +3

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 op…