欧式期权波动率校准反问题的正则化算法

A Regularized Algorithm for the Inverse Problem of Calibrating Implied Volatility of European Option

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.

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 a numerical example on the premise that the market prices of option are known. At the end of this paper, is given to show that this method is effective.