• Bulletin of the Korean Mathematical Society
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• v.59 no.2
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• pp.507-528
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• 2022

We propose a path integral method to construct a time stepwise local volatility for the stock index market under Dupire's model. Our method is focused on the pricing with the Monte Carlo Method (MCM). We solve the problem of randomness of MCM by applying numerical integration. We reconstruct this task as a matrix equation. Our method provides the analytic Jacobian and Hessian required by the nonlinear optimization solver, resulting in stable and fast calculations.