文献类型：会议论文

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, QH[1]

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

第一机构：Renmin Univ China, Beijing 100872, Peoples R China

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;

会议论文集：3rd International Workshop on Computational Inverse Problems and Applications

会议日期：JUL 08-12, 2013

会议地点：Nanchang, PEOPLES R CHINA

语种：英文

外文关键词：Trust region method; option pricing; regularization

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.