Sequential quadratic programming method for volatility estimation in option pricing

DOI10.1007/S10957-008-9404-4zbMATH Open1159.91389OpenAlexW1978654550MaRDI QIDQ1014041FDOQ1014041

Authors: Bertram Düring, Ansgar Jüngel, S. 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

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zbMATH Keywords

parameter identificationoptimal controloptimality conditionsSQP methodprimal-dual active set strategyDupire equation

Mathematics Subject Classification ID

Quadratic programming (90C20) Methods of successive quadratic programming type (90C55) Derivative securities (option pricing, hedging, etc.) (91G20) Existence theories for optimal control problems involving ordinary differential equations (49J15)

Cites Work

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• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
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• VOLATILITY SMILE BY MULTILEVEL LEAST SQUARE
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Cited In (2)

• Reduced-order models for the implied variance under local volatility
• Reconstructing local volatility using total variation

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