"Static and dynamic SABR stochastic volatility models: Calibration and ..."

J. L. Fernández et al. (2013)

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DOI: 10.1016/J.MATCOM.2013.05.007

access: closed

type: Journal Article

metadata version: 2020-10-26

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J. L. Fernández, Ana M. Ferreiro, José Antonio García-Rodríguez, Álvaro Leitao, José G. López-Salas, Carlos Vázquez:
Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs. Math. Comput. Simul. 94: 55-75 (2013)

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