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    Parallelized Local Volatility Estimation Using GP-GPU Hardware Acceleration

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    Type
    Conference Paper
    Authors
    Douglas, Craig C.
    Lee, Hyoseop
    Sheen, Dongwoo
    KAUST Grant Number
    KUS-C1-016-04
    Date
    2010
    Permanent link to this record
    http://hdl.handle.net/10754/599137
    
    Metadata
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    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.
    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.
    Publisher
    Institute of Electrical and Electronics Engineers (IEEE)
    Journal
    2010 International Conference on Information Science and Applications
    DOI
    10.1109/ICISA.2010.5480362
    ae974a485f413a2113503eed53cd6c53
    10.1109/ICISA.2010.5480362
    Scopus Count
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