Sequential quadratic programming method for volatility estimation in option pricing

DOI10.1007/s10957-008-9404-4zbMath1159.91389MaRDI QIDQ1014041

Stefan Volkwein, Ansgar Jüngel, Bertram Düring

Publication date: 24 April 2009

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-18793

zbMATH Keywords

optimal control; optimality conditions; parameter identification; SQP method; primal-dual active set strategy; Dupire equation

Mathematics Subject Classification ID

90C20: Quadratic programming

91G20: Derivative securities (option pricing, hedging, etc.)

49J15: Existence theories for optimal control problems involving ordinary differential equations

90C55: Methods of successive quadratic programming type

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