Calibrating the model parameters in pricing using the trust region method
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Zuo-liang Xu
und
Li-ping Wang
Abstract
In this paper, we aim to calibration pricing models from market prices. We investigate the problem of calibrating the parameters using the trust region method from given price data. We start with the Hull–White model and formulate the problem by obtaining the first kind integral equation, and then consider the parameter recovery problem of the Black–Scholes model. We apply trust region algorithm for numerical retrieval problems. Numerical simulations are given to illustrate the feasibility of our proposed method.
Funding source: NSFC
Award Identifier / Grant number: 11171349
Funding source: Importation and Development of High-Caliber Talents Project of Beijing Municipal Institutions
Award Identifier / Grant number: IDHT201304089
© 2016 by De Gruyter
Artikel in diesem Heft
- Frontmatter
- Preface
- Lq-regularization for the inverse Robin problem
- Hybrid Newton-type methods for reconstructing sound-soft obstacles from a single far field
- Numerical simulation and parameters inversion for non-symmetric two-sided fractional advection-dispersion equations
- A coupled model of partial differential equations for uranium ores heap leaching and its parameters identification
- An optimal filtering method for a time-fractional inverse advection-dispersion problem
- Simultaneous determination of thickness, thermal conductivity and porosity in textile material design
- Nuclear norm and indicator function model for matrix completion
- Calibrating the model parameters in pricing using the trust region method
- An adaptive multigrid conjugate gradient method for permeability identification of nonlinear diffusion equation
- Reconstruction of prograde and retrograde Chandler excitation
Artikel in diesem Heft
- Frontmatter
- Preface
- Lq-regularization for the inverse Robin problem
- Hybrid Newton-type methods for reconstructing sound-soft obstacles from a single far field
- Numerical simulation and parameters inversion for non-symmetric two-sided fractional advection-dispersion equations
- A coupled model of partial differential equations for uranium ores heap leaching and its parameters identification
- An optimal filtering method for a time-fractional inverse advection-dispersion problem
- Simultaneous determination of thickness, thermal conductivity and porosity in textile material design
- Nuclear norm and indicator function model for matrix completion
- Calibrating the model parameters in pricing using the trust region method
- An adaptive multigrid conjugate gradient method for permeability identification of nonlinear diffusion equation
- Reconstruction of prograde and retrograde Chandler excitation
