Parallelized Local Volatility Estimation Using GP-GPU Hardware Acceleration

Craig C. Douglas, Hyoseop Lee, Dongwoo Sheen

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We introduce an inverse problem for the local volatility model in option pricing. We solve the problem using the Levenberg-Marquardt algorithm and use the notion of the Fréchet derivative when calculating the Jacobian matrix. We analyze the existence of the Fréchet derivative and its numerical computation. To reduce the computational time of the inverse problem, a GP-GPU environment is considered for parallel computation. Numerical results confirm the validity and efficiency of the proposed method. ©2010 IEEE.
Original languageEnglish (US)
Title of host publication2010 International Conference on Information Science and Applications
PublisherInstitute of Electrical and Electronics Engineers (IEEE)
ISBN (Print)9781424459421
DOIs
StatePublished - 2010
Externally publishedYes

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