Sensitivity Study of Heston Stochastic Volatility Model Using GPGPU

Emanouil I. Atanassov, Sofiya Ivanovska. Sensitivity Study of Heston Stochastic Volatility Model Using GPGPU. In Ivan Lirkov, Svetozar Margenov, Jerzy Wasniewski, editors, Large-Scale Scientific Computing - 8th International Conference, LSSC 2011, Sozopol, Bulgaria, June 6-10, 2011, Revised Selected Papers. Volume 7116 of Lecture Notes in Computer Science, pages 439-446, Springer, 2011. [doi]

Abstract

Abstract is missing.