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

14 citations · 14 across the 1 of their papers we have counts for

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1 paper

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…