Recover Implied Volatility in Short-term Interest Rate Model  

短期利率模型中隐含波动率的重构（英文）

作　　者：ZHA O Fang-fang XU Zuo-liang 

机构地区：[1]School of Mathematics and Statistics, Shandong Normal University, Jinan 250014, China [2]Schoolof Information, Renmin University of China, Beijing 100872, China

出　　处：《Chinese Quarterly Journal of Mathematics》2017年第4期395-406,共12页数学季刊（英文版）

基　　金：Supported by the National Natural Science Foundation of China(11171349)

摘　　要：This paper concerns an inverse problem of recovering implied volatility in short-term interest rate model from the market prices of zero-coupon bonds. Based on lineariza-tion, an analytic solution, which is given as a power series, is derived for the direct problem.By neglecting high order terms in the power series, an integral equation about the pertur-bation of volatility is formulated and the Tikhonov regularization method is applied to solvethe integral equation. Finally numerical experiments are given and the results show that the method is effective.This paper concerns an inverse problem of recovering implied volatility in shortterm interest rate model from the market prices of zero-coupon bonds. Based on linearization, an analytic solution, which is given as a power series, is derived for the direct problem.By neglecting high order terms in the power series, an integral equation about the perturbation of volatility is formulated and the Tikhonov regularization method is applied to solve the integral equation. Finally numerical experiments are given and the results show that the method is effective.

关 键 词：implied VOLATILITY INVERSE PROBLEM LINEARIZATION 

分 类 号：O241.82[理学—计算数学]