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

Fuente: arXiv

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Bibliographic Details
Main Authors:	Fernández, J. L., Ferreiro, A. M., García, J. A., Leitao, A., López-Salas, J. G., Vázquez, C.
Format:	Preprint
Published:	2024
Subjects:	Optimization and Control
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2407.20713