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
收藏
页码：573 / 576
页数：4
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