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
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 of Implied Volatility in Generalized Hull-White Model, Journal of Finance and Accounting.
Vol. 4, No. 2,
2016, pp. 25-32.
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