文章基本信息

标题：Reconstruction of a Volatility Based on the Black-Scholes Option Pricing Model Using Homotopy Perturbation Inversion Method
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作者：Yixin Dou ; Jianhua Fu ; Zhihao Wang 等
期刊名称：International Journal of Hybrid Information Technology
印刷版ISSN：1738-9968
出版年度：2016
卷号：9
期号：9
页码：111-122
出版社：SERSC
摘要：The reconstruction of a volatility based on a Black-Scholes option pricing model is ill-posed. In order to overcome the ill-posedness, a homotopy perturbation inversion method is designed to solve the inverse problem. The proposed method is a modified version of the Landweber method. The reconstruction of a volatility is a nonlinear problem which is needed to be linearized. Hence, numerical experiments consist of the reconstruction of a policy parameter based on a Todaro model which is a linear inverse problem and the reconstruction of a volatility based on a Black-Scholes option pricing model in order to test the performance of the proposed method. Numerical examples show that the proposed method is more accurate and faster than the Landweber method.
关键词：Option Pricing; Black-Scholes Model; Inverse Problem; Volatility; ;Homotopy Perturbation Inversion Method