Talks and Poster Presentations (without Proceedings-Entry):
B. Düring:
"A semi-smooth Newton method for an inverse problem in option pricing";
Talk: 6th International Congress on Industrial and Applied Mathematics (ICIAM07),
Zürich (invited);
2007-07-16
- 2007-07-20.
English abstract:
We present an optimal control approach using a Lagrangian framework to identify local volatility functions from given option prices. We employ a globalized sequential quadratic programming algorithm and implement a line search strategy. The linear-quadratic optimal control problems in each iteration are solved by a primal-dual active set strategy which leads to a semi-smooth Newton method. We present first- and second-order analysis as well as numerical results.
German abstract:
siehe englischer Abstract
Keywords:
Inverse problem, option pricing, semi-smooth Newton method
Related Projects:
Project Head Ansgar Jüngel:
Numerik und Modellierung nichtlinearer partieller Differentialgleichungen zur Beschreibung von Kredit- und Preisrisiken
Created from the Publication Database of the Vienna University of Technology.