Sequential quadratic programming method for volatility estimation in option pricing (Q1014041)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sequential quadratic programming method for volatility estimation in option pricing |
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Sequential quadratic programming method for volatility estimation in option pricing (English)
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24 April 2009
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Dupire equation
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parameter identification
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optimal control
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optimality conditions
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SQP method
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primal-dual active set strategy
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