Publications in Scientific Journals:

B. Düring:
"A semi-smooth Newton method for an inverse problem in option pricing";
PAMM, 7 (2008), 1; 1081105 - 1081106.

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 (SQP) 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:
s. engl. Abstract

option pricing, parameter identification, semi-smooth Newton method

"Official" electronic version of the publication (accessed through its Digital Object Identifier - DOI)

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.