Sequential quadratic programming method for volatility estimation in option pricing

DOI10.1007/s10957-008-9404-4zbMath1159.91389OpenAlexW1978654550MaRDI QIDQ1014041

Stefan Volkwein, Ansgar Jüngel, Bertram Düring

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

optimal controloptimality conditionsparameter identificationSQP methodprimal-dual active set strategyDupire equation

Mathematics Subject Classification ID

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

Related Items (1)

REDUCED-ORDER MODELS FOR THE IMPLIED VARIANCE UNDER LOCAL VOLATILITY

Cites Work

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• Far Field Boundary Conditions for Black--Scholes Equations
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• A primal-dual active set algorithm for bilaterally control constrained optimal control problems
• Calibrating volatility surfaces via relative-entropy minimization
• The Primal-Dual Active Set Method for Nonlinear Optimal Control Problems with Bilateral Constraints
• COMPUTATION OF LOCAL VOLATILITIES FROM REGULARIZED DUPIRE EQUATIONS
• CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
• Calibration of the local volatility in a trinomial tree using Tikhonov regularization
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
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