Sequential quadratic programming method for volatility estimation in option pricing

DOI10.1007/S10957-008-9404-4MaRDI QIDQ1014041zbMATH OpenOpenAlexFDO

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

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)

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• CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
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• Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
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• The Primal-Dual Active Set Method for Nonlinear Optimal Control Problems with Bilateral Constraints
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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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