出版者:Institute of Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
ISSN:1439-7617
卷排序:33
文摘
The aim of this paper is to identify the volatility function in Dupire’s equation from given option prices. This inverse problem is formulated as an infinite-dimensional minimization problem with PDE constraints. The computational cost of solving the discretized problem on a fine discretization level is expensive. A multi-grid method is proposed to explore the hierarchical structures of discretized problems on different levels. Computational examples are presented to demonstrate the efficiency of our method.