AN INVERSE PROBLEM OF CALIBRATING VOLATILITY IN JUMP-DIFFUSION OPTION PRICING MODELS1

被引：0

作者：

Jin, Chang ^{[1
]}

Ma, Qing-Hua ^{[1
]}

Xu, Zuo-Liang ^{[1
]}

机构：

[1] Renmin Univ China, Beijing 100872, Peoples R China

来源：

BOUNDARY VALUE PROBLEMS, INTEGRAL EQUATIONS AND RELATED PROBLEMS | 2011年

关键词：

Gauss-Newton method; jump diffusion model; relative entropy; regularization; volatility;

D O I：

10.1142/9789814327862_0009

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper mainly concerns calibrating volatility from a jump diffusion model to a finite set of observed option pricing. We proposed a regularization algorithm based on Cont and Tankov's relative entropy regularization to solve this problem. We determine the regularization parameter using quasi-optimality criterion with original data error level unknown. Iteratively Guass-Newton method is developed for solving the unconstrained optimization problem. Finally, the theoretical results are illustrated by numerical experiments.

引用

页码：102 / 112

页数：11

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