用改进的Newton-Raphson方法计算隐含波动率  

On a Regularized Algorithm for Inverse Problem of Calibrating Implied Volatility of European Option

作　　者：马青华[1] 李艳涛[1] 吕书强[1] 

机构地区：[1]北京联合大学应用文理学院,北京100191

出　　处：《西南师范大学学报（自然科学版）》2015年第7期50-53,共4页Journal of Southwest China Normal University(Natural Science Edition)

基　　金：北京市属高等学校高层次人才引进与培养计划项目(IDHT201304089);国家自然科学基金项目(11171349;11101035);北京联合大学新起点计划项目资助(ZK10201412)

摘　　要：如何利用标的资产价格的价格确定波动率函数有着重要的意义.对于欧式期权,在Black-Scholes模型框架下,分析了经典Newton-Raphson迭代格式及修正格式和二分法,有效地解决了隐含波动率的数值计算问题.最后,通过数值算例对比分析了方法的有效性.Computing the implied volatility of underlying asserts is very important for both theoretical and practical applications. For European options, in the framework of Black-Scholes, two simple algorithms are proposed, which can effectively solve the implied volatility on the premise of the market prices of op- tion known. In the end of this paper, we give a numerical example to show that these methods are effective.

关 键 词：欧式期权 隐含波动率 Newton-Raphson迭代 二分法 

分 类 号：F830.9[经济管理—金融学]