美式期权隐含波动率校准问题的研究

Calibration of Implied Volatility with American Options

研究的是美式期权的隐含波动率校准问题.首先提出一个正则化的最小二乘方法,在对其惩罚问题研究后找到最小二乘问题的最优条件,并给出美式期权波动率校准问题的算法.最后,通过数值算例说明了方法的有效性.

In this paper,we consider the calibration of implied volatility with American options.We provide a regularized least square method,after studying its penalized problem, we find optimality conditions for the least square problem and give the algorithm of calibration. Finally,we give a numerical example to show that this method is effective.