文献详情
The calibration of volatility for option pricing models with jump diffusion processes
文献类型：期刊
通讯作者：Jia, XY (reprint author), Renmin Univ China, Sch Informat, Beijing, Peoples R China.
期刊名称：APPLICABLE ANALYSIS影响因子和分区
年：2019
卷：98
期：4
页码：810-827
ISSN：0003-6811
关键词：Jump-diffusion model; Tikhonov regularization; Euler-Lagrange equation; the finite difference method; iterative algorithm
所属部门：信息学院
摘要：This paper is devoted to calibrate smooth local volatility surface under jump-diffusion processes. This calibration problem is posed as an inverse problem: given a finite set of observed European option prices, find a local volatility function such that the theoretical option prices matches the observed ones optimally with respect to a prescribed performance criterion. Firstly, we obtain an Euler-Lagrange equation for the calibration problem using Tikhonov regularization method. Then we solve th ...More
This paper is devoted to calibrate smooth local volatility surface under jump-diffusion processes. This calibration problem is posed as an inverse problem: given a finite set of observed European option prices, find a local volatility function such that the theoretical option prices matches the observed ones optimally with respect to a prescribed performance criterion. Firstly, we obtain an Euler-Lagrange equation for the calibration problem using Tikhonov regularization method. Then we solve the Euler-Lagrange equation using an iterative algorithm and obtain the volatility. Finally, numerical experiments show the effectiveness of the proposed method. ...Hide

DOI：10.1080/00036811.2017.1403588
百度学术：The calibration of volatility for option pricing models with jump diffusion processes
语言：外文
被引频次：1
人气指数：1
浏览次数：1
基金：National Natural Science Foundation of ChinaNational Natural Science Foundation of China [11571365]
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