Reconstruction of the Stochastic Volatility Based on the Black-Scholes Option Pricing Model

被引：0

作者：

Han, Yi-tong ^{[1
]}

Jiang, Ming-hui ^{[1
]}

Dou, Yi-xin ^{[2
]}

机构：

[1] Harbin Inst Technol, Sch Management, Harbin 150001, Peoples R China

[2] Harbin Univ Commerce, Sch Finance, Harbin 150001, Peoples R China

来源：

INTERNATIONAL CONFERENCE ON COMPUTER, NETWORK SECURITY AND COMMUNICATION ENGINEERING (CNSCE 2014) | 2014年

关键词：

Option pricing; Black-Scholes model; Inverse problem; Ill-posedness; Regularized-Gauss-Newton method;

D O I：

暂无

中图分类号：

TP3 [计算技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper investigates the inverse problem of a stochastic volatility based on the Black-Scholes option pricing model. In order to overcome the ill-posedness of reconstructing a stochastic volatility, a regularized-Gauss-Newton method is applied to solve the inverse problem. Numerical examples show that the reconstruction algorithm is convergence and stable.

引用

页码：573 / 576

页数：4

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