期刊名称：International Journal of Hybrid Information Technology
印刷版ISSN：1738-9968
出版年度：2016
卷号：9
期号：9
页码：111-122
出版社：SERSC
摘要：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.
