Sensitivity Study of Heston Stochastic Volatility Model Using GPGPU
The focus of this paper is on effective parallel implementation of Heston Stochastic Volatility Model using GPGPU. This model is one of the most widely used stochastic volatility (SV) models. The method of Andersen provides efficient simulation of the stock price and variance under the Heston model. In our implementation of this method we tested the usage of both pseudo-random and quasi-random sequences in order to evaluate the performance and accuracy of the method.
We used it for computing Sobol’ sensitivity indices of the model with respect to input parameters. Since this method is computationally intensive, we implemented a parallel GPGPU-based version of the algorithm, which decreases substantially the computational time. In this paper we describe in detail our implementation and discuss numerical and timing results.
KeywordsOption Price Sensitivity Index Stochastic Volatility Implied Volatility Stochastic Volatility Model
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