通过最佳控制解法确定隐含波动率  

The optimum control method for the determination of the implied volatility

作　　者：邓醉茶[1] 

机构地区：[1]同济大学应用数学系,上海200092

出　　处：《纺织高校基础科学学报》2004年第4期321-325,共5页Basic Sciences Journal of Textile Universities

摘　　要：确定原生资产的隐含波动率无论是在理论还是实际应用上都有重要意义 .本文利用Green函数法将此问题化为一个“终端”控制问题 ,通过最佳控制解法讨论了控制泛函极小元的存在性定理 。The implied volatility of the underlying asset is of great implication for both theoretical and practical purpose.The issue is transferred into the terminal control issue with Green functions, and the existence (theorem) of the control functional minimum with the optimal control method is discussed, furthermore the (necessary) condition with which the minimum must meet is given.

关 键 词：抛物型偏微分方程 欧式期权 波动率 存在性 必要条件 

分 类 号：O211.6[理学—概率论与数理统计] F830.9[理学—数学]