The linear scaling localized-density-matrix (LDM) method is generalized to calculate the nonlinear optical responses of large polyacetylene oligomers. The ground state reduced single-electron density matrix is initialized by the divide-and-conquer approach and is obtained subsequently using the LDM method. The third-harmonic generation spectra of large oligomers are calculated. The saturation of off-resonant second hyperpolarizability chi((3))(0) has been reinvestigated, and the value of chi((3))(0) is found to depend mainly on the optical gap and the number of double bonds.