Fernández, J.L.; Ferreiro, A.M.; García-Rodríguez, J.A. - In: Mathematics and Computers in Simulation (MATCOM) 94 (2013) C, pp. 55-75
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 the Monte Carlo simulation. This calibration has been performed for EURO STOXX 50 index...
