文献类型：期刊文献

英文题名：RECOVERY OF THE LOCAL VOLATILITY FUNCTION USING REGULARIZATION AND A GRADIENT PROJECTION METHOD

作者：Ma, Qinghua[1,2];Xu, Zuoliang[3];Wang, Liping[4]

第一作者：Ma, Qinghua;马青华

通讯作者：Ma, QG[1]

机构：[1]Beijing Union Univ, Coll Appl Arts & Sci, Beijing 100191, Peoples R China;[2]Cent Univ Finance & Econ, Beijing 100081, Peoples R China;[3]Renmin Univ China, Beijing 100872, Peoples R China;[4]Hebei Normal Univ, Shijiazhuang 050024, Peoples R China

第一机构：北京联合大学应用文理学院

通讯机构：[1]corresponding author), Beijing Union Univ, Coll Appl Arts & Sci, Beijing 100191, Peoples R China.|[114172]北京联合大学应用文理学院;[11417]北京联合大学;

年份：2015

卷号：11

期号：2

起止页码：421-437

外文期刊名：JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION

收录：;Scopus(收录号：2-s2.0-84907169000);WOS:【SCI-EXPANDED(收录号:WOS:000343161700005)】；

基金：The research is supported by NSFC grant 11171349, the Importation and Development of High-Caliber Talents Project of Beijing Municipal Institutions IDHT 201304089.

语种：英文

外文关键词：Volatility function; linearization; regularization; projective gradient methods

摘要：This paper considers the problem of calibrating the volatility function using regularization technique and the gradient projection method from given option price data. It is an ill-posed problem because of at least one of three well-posed conditions violating. We start with the European option pricing problem. We formulate the problem by obtaining the integral equation from Dupire equation and provide a theory of identifying the local volatility function sigma(y, tau) when the parameter it 0, and then we apply regularization technique for volatility function retrieval problems. A projected gradient method is developed for recovering the volatility function. Numerical simulations are given to illustrate the feasibility of our method.