Sequential quadratic programming method for volatility estimation in option pricing
From MaRDI portal
Publication:1014041
DOI10.1007/s10957-008-9404-4zbMath1159.91389MaRDI QIDQ1014041
Ansgar Jüngel, Bertram Düring, Stefan Volkwein
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
optimal control; optimality conditions; parameter identification; SQP method; primal-dual active set strategy; Dupire equation
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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