Parameter identification in financial market models with a feasible point SQP algorithm
DOI10.1007/S10589-010-9369-8zbMATH Open1241.91147OpenAlexW2092924145MaRDI QIDQ429503FDOQ429503
Ekkehard W. Sachs, Jan H. Maruhn, F. Gerlich, A. M. Giese
Publication date: 19 June 2012
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10589-010-9369-8
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- A computationally efficient feasible sequential quadratic programming algorithm
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- A Feasible Trust-Region Sequential Quadratic Programming Algorithm
- Identification of the local speed function in a Lévy model for option pricing
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