【摘要】 基于Hull-White模型,研究由零息债券的市场价格进行参数校准的问题.构造函数将问题转化为正则化问题,并利用正则化方法得到解的存在性,稳定性和所满足的必要条件.最后利用必要条件进行数值计算,给出了数值模拟算例和实证分析,数值结果表明了方法中引入正则项的有效性,且改善了其参数的稳定性,具有实际意义.更多还原

【Abstract】 Based on Hull-White model,this paper concerns a problem of calibrating the parameter from the market prices of zero-coupon bonds.By constructing the function,translate the problem to the regularization problem and applying the regularization method,establish the existence and stability of the solution,give the necessary condition that the solution satisfies.Finally use the condition for numerical calculation and give a numerical example and the real analysis,the numerical results show that adding the regularization terms is effective,improves the stability of the parameter and has the practical significance.更多还原