Parallelized Local Volatility Estimation Using GP-GPU Hardware Acceleration

Handle URI:
http://hdl.handle.net/10754/599137
Title:
Parallelized Local Volatility Estimation Using GP-GPU Hardware Acceleration
Authors:
Douglas, Craig C.; Lee, Hyoseop; Sheen, Dongwoo
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.
Citation:
Douglas CC, Lee H, Sheen D (2010) Parallelized Local Volatility Estimation Using GP-GPU Hardware Acceleration. 2010 International Conference on Information Science and Applications. Available: http://dx.doi.org/10.1109/ICISA.2010.5480362.
Publisher:
Institute of Electrical and Electronics Engineers (IEEE)
Journal:
2010 International Conference on Information Science and Applications
KAUST Grant Number:
KUS-C1-016-04
Issue Date:
2010
DOI:
10.1109/ICISA.2010.5480362
Type:
Conference Paper
Sponsors:
This research was supported in part by NSF grants ACI-0305466 and CNS-0720454 and Award No. KUS-C1-016-04,made by King Abdullah University of Science and Technology(KAUST) and NRF grants 2009-0080533 and NRF 2008-C00043.
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Full metadata record

DC FieldValue Language
dc.contributor.authorDouglas, Craig C.en
dc.contributor.authorLee, Hyoseopen
dc.contributor.authorSheen, Dongwooen
dc.date.accessioned2016-02-25T13:53:33Zen
dc.date.available2016-02-25T13:53:33Zen
dc.date.issued2010en
dc.identifier.citationDouglas CC, Lee H, Sheen D (2010) Parallelized Local Volatility Estimation Using GP-GPU Hardware Acceleration. 2010 International Conference on Information Science and Applications. Available: http://dx.doi.org/10.1109/ICISA.2010.5480362.en
dc.identifier.doi10.1109/ICISA.2010.5480362en
dc.identifier.urihttp://hdl.handle.net/10754/599137en
dc.description.abstractWe 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.en
dc.description.sponsorshipThis research was supported in part by NSF grants ACI-0305466 and CNS-0720454 and Award No. KUS-C1-016-04,made by King Abdullah University of Science and Technology(KAUST) and NRF grants 2009-0080533 and NRF 2008-C00043.en
dc.publisherInstitute of Electrical and Electronics Engineers (IEEE)en
dc.titleParallelized Local Volatility Estimation Using GP-GPU Hardware Accelerationen
dc.typeConference Paperen
dc.identifier.journal2010 International Conference on Information Science and Applicationsen
dc.contributor.institutionUniversity of Wyoming, Laramie, United Statesen
dc.contributor.institutionSeoul National University, Seoul, South Koreaen
kaust.grant.numberKUS-C1-016-04en
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