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...

In this work we propose a highly optimized version of a simulated annealing (SA) algorithm adapted to the more recently developed graphic processor units (GPUs). The programming has been carried out with compute unified device architecture (CUDA) toolkit, specially designed for Nvidia GPUs. For...