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"A new calibration of the Heston Stochastic Local Volatility Model and its ..."

Ana Maria Ferreiro-Ferreiro et al. (2020)

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DOI: 10.1016/J.MATCOM.2020.04.001

access: closed

type: Journal Article

metadata version: 2020-12-29

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  - https://dblp.org/rec/journals/mcs/Ferreiro-Ferreiro20
Ana Maria Ferreiro-Ferreiro, José Antonio García-Rodríguez, Luis A. Souto, Carlos Vázquez:
A new calibration of the Heston Stochastic Local Volatility Model and its parallel implementation on GPUs. Math. Comput. Simul. 177: 467-486 (2020)

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