scholarly journals An algorithm for constructing a direct and inverse operator of a real process

Author(s):  
L. T. Boyko ◽  
A. A. Kononchuk

Consider the task of building a mathematical model of the real process, which translates the data at the entrance to a certain result at the output. Considered the case when severaldata is submitted to the entrance, and the output result is only one. The direct operator of the real process makes it possible to determine (provide) the result at the exit based on the known data at the entrance. The reverse operator on a known result on the way out of the real process allows you to find the necessary input. Operators of the real process are modeled with algebraic polynom to some extent. The degree of algebraic polynomic and its coefficients depend on a specific real process. Since input and output are known with some error in real-world processes, we take into account input and output errors when building operators. The task of building such operators is incorrect on Adamar, so we use the method of regularization of Tikhonov. This method allows you to build sustainable approach (taking into account the error of the input and output data) the right operators. The article examines in detail the algorithm for building a reverse operator. The direct operator algorithm is reviewed in the authors' previous article (link [2] in this article). Building a reverse operator comes down to solving a non-linear equation in an incorrect setting. The non-linear equation is solved by Newton's iterative method. The software implementation of the algorithm has been carried out. Three test examples are considered, which confirm the correctness of the algorithm and program. The algorithm can be summarized in case there are several data (at least two) at both the entrance and exit.

2016 ◽  
Vol 5 (1) ◽  
pp. 27
Author(s):  
PUTU AYU DENI ◽  
KOMANG DHARMAWAN ◽  
G. K. GANDHIADI

Option are contracts that give the right to sell and buy the asset at a price and a certain period of time. In addition investors use option as a means of hedge against asset owned. Many methods are used to determine the price of option, one of them by using the Black-Scholes equation. But its use these in the assumption that the value for the constant volatility. On market assumption are not appropriates, so many researchers proposed using a volatility calculation option that is non-constant Black-Scholes equation modelled using the volatility is not constant in the range so as to produce a non-linear equation of  Black-Scholes. In addition to determine the value of hedge ratio. On completions of this study, for the numerical solution of non-linear Black-Scholes equation using method of explicit finite difference scheme. Option use in research us a stock YAHOO!inc. as the underlying asset. The result showed that the price of the option is calculated using non-linear Black-Scholes equation price close on the market. Therefore, it can produce hedge ration for a risk-free portfolio containing of the option and stock.


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