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 language||English (US)|
|Title of host publication||2010 International Conference on Information Science and Applications|
|Publisher||Institute of Electrical and Electronics Engineers (IEEE)|
|State||Published - 2010|