Sequential quadratic programming method for volatility estimation in option pricing (Q1014041)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Sequential quadratic programming method for volatility estimation in option pricing |
scientific article; zbMATH DE number 5547295
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Sequential quadratic programming method for volatility estimation in option pricing |
scientific article; zbMATH DE number 5547295 |
Statements
Sequential quadratic programming method for volatility estimation in option pricing (English)
0 references
24 April 2009
0 references
Dupire equation
0 references
parameter identification
0 references
optimal control
0 references
optimality conditions
0 references
SQP method
0 references
primal-dual active set strategy
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8262518048286438
0 references
0.7876389026641846
0 references
0.7781292200088501
0 references
0.7719041109085083
0 references
0.7713778018951416
0 references
