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Yixin Dou,Jianhua Fu,Zhihao Wang 보안공학연구지원센터 2016 International Journal of Hybrid Information Techno Vol.9 No.9
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.