文献类型：期刊文献

英文题名：Calibrating the model parameters in pricing using the trust region method

作者：Xu, Zuo-Liang[1]; Ma, Qing-Hua[2]; Wang, Li-Ping[3]

第一作者：Xu, Zuo-Liang

通讯作者：Ma, Qing-Hua

机构：[1] Renmin University of China, Beijing, 100872, China; [2] College of Applied Arts and Science, Beijing Union University, Beijing, 100191, China; [3] Hebei Normal University, Shijiazhuang, 050024, China

第一机构：Renmin University of China, Beijing, 100872, China

年份：2016

卷号：24

期号：1

起止页码：79-87

外文期刊名：Journal of Inverse and Ill-Posed Problems

收录：EI(收录号：20160701924474);Scopus(收录号：2-s2.0-84957666451)

基金：The research is supported by NSFC grant 11171349 and by the Importation and Development of High-Caliber Talents Project of Beijing Municipal Institutions IDHT201304089.

语种：英文

外文关键词：Costs - Economics - Integral equations - Investments

摘要：In this paper, we aim to calibration pricing models from market prices. We investigate the problem of calibrating the parameters using the trust region method from given price data. We start with the Hull-White model and formulate the problem by obtaining the first kind integral equation, and then consider the parameter recovery problem of the Black-Scholes model. We apply trust region algorithm for numerical retrieval problems. Numerical simulations are given to illustrate the feasibility of our proposed method. ? 2016 by De Gruyter.