| 欧式期权波动率校准反问题的正则化算法 |
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| 引用本文： | 金畅,马青华,许作良,倪西钧.欧式期权波动率校准反问题的正则化算法[J].西南师范大学学报(自然科学版),2011,36(6). |
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| 作者姓名： | 金畅 马青华 许作良 倪西钧 |
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| 作者单位： | 中国兵器工业档案馆;中国人民大学信息学院;北京联合大学应用文理学院计算科学系;中国人民大学研究生院; |
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| 基金项目： | 国家自然科学基金项目(10971224); 北京市优秀人才培养资助项目(2010D005022000008); 北京联合大学项目(zk201001x) |
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| 摘 要： | 标的资产的隐含波动率校准问题无论在理论上还是实际应用中都有重要意义.对于欧式期权,在Black-Scholes模型框架下,提出了一个正则化的最小二乘算法,有效地解决了在期权市场价格已知前提下的隐含波动率校准反问题.最后,通过数值算例说明了方法的有效性.
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| 关 键 词： | 欧式期权 校准 隐含波动率 反问题 正则化 |
A Regularized Algorithm for the Inverse Problem of Calibrating Implied Volatility of European Option |
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| JIN Chang,MA Qing-hua,XU Zuo-liang,NI Xi-jun .Archives of China North Industries,Beijing ,China,.School of Information,Renmin University of China,Beijing ,.Computing Science.A Regularized Algorithm for the Inverse Problem of Calibrating Implied Volatility of European Option[J].Journal of Southwest China Normal University(Natural Science),2011,36(6). |
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| Authors: | JIN Chang MA Qing-hua XU Zuo-liang NI Xi-jun Archives of China North Industries Beijing China School of Information Renmin University of China Beijing Computing Science |
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| Institution: | JIN Chang1,2,MA Qing-hua3,XU Zuo-liang2,NI Xi-jun4 1.Archives of China North Industries,Beijing 100089,China,2.School of Information,Renmin University of China,Beijing 100872,3.Computing Science Department,College of Art & Science of Beijing Union University,Beijing 100191,4.Graduate School |
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| Abstract: | Calibrating the implied volatility of underlying asserts is very important for both theoretical and practical applications.For European options,in the framework of Black-Scholes model,a regularized least squares algorithm is proposed in this paper,which can effectively solve an inverse problem of calibrating the implied volatility on the premise that the market prices of option are known.At the end of this paper,a numerical example is given to show that this method is effective. |
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| Keywords: | European option calibration implied volatility inverse problem regularization |
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