Newton Raphson Emulation Network for Highly Efficient Computation of Numerous Implied Volatilities
Abstract
In finance, implied volatility is an important indicator that reflects the market situation immediately. Many practitioners estimate volatility using iteration methods, such as the Newton--Raphson (NR) method. However, if numerous implied volatilities must be computed frequently, the iteration methods easily reach the processing speed limit. Therefore, we emulate the NR method as a network using PyTorch, a well-known deep learning package, and optimize the network further using TensorRT, a package for optimizing deep learning models. Comparing the optimized emulation method with the NR function in SciPy, a popular implementation of the NR method, we demonstrate that the emulation network is up to 1,000 times faster than the benchmark function.
Cite
@article{arxiv.2210.15969,
title = {Newton Raphson Emulation Network for Highly Efficient Computation of Numerous Implied Volatilities},
author = {Geon Lee and Tae-Kyoung Kim and Hyun-Gyoon Kim and Jeonggyu Huh},
journal= {arXiv preprint arXiv:2210.15969},
year = {2022}
}