基于Schwartz模型重构局部波动率

Reconstruction of local volatility based on Schwartz model

为解决从Schwartz模型的市场数据中重构局部波动率的反问题,采用线性化方法将此问题转换为重构二阶抛物型方程源项系数的反问题,并运用最优控制理论证明了控制泛函极小元的存在性和必要条件.

The article mainly studies the inverse problem of how to reconstruct the local volatility from the market data of the Schwartz model.The linearization method is used to transform the problem into an inverse problem of reconstructing the source coefficients of the second-order parabolic equation.The existence and necessary conditions of control functional minimum are proved by using optimal control theory.