Calibration of Implied Volatility in Generalized Hull-White Model
Journal of Finance and Accounting
Volume 4, Issue 2, March 2016, Pages: 25-32
Received: Mar. 6, 2016; Published: Mar. 6, 2016
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Fangfang Zhao, School of Information, Renmin University of China, Beijing, China
Zuoliang Xu, School of Information, Renmin University of China, Beijing, China
Changjing Li, School of Mathematical Sciences, Shandong Normal University, Jinan, China
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This paper concerns a problem of calibrating implied volatility in generalized Hull-White model from the market prices of zero-coupon bonds. By using the regularization method, we establish the existence and stability of the optimal solution, and give the necessary condition that the solution satisfies. Finally numerical results show that the method is stable and effective.
Calibration, Implied Volatility, Generalized Hull-White Model, Regularization
To cite this article
Fangfang Zhao, Zuoliang Xu, Changjing Li, Calibration of Implied Volatility in Generalized Hull-White Model, Journal of Finance and Accounting. Vol. 4, No. 2, 2016, pp. 25-32. doi: 10.11648/j.jfa.20160402.11
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