Parallelized Local Volatility Estimation Using GP-GPU Hardware Acceleration
KAUST Grant NumberKUS-C1-016-04
Permanent link to this recordhttp://hdl.handle.net/10754/599137
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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.
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.
SponsorsThis 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.