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
Keywords:
option pricing, parameter identification, semi-smooth Newton method
"Official" electronic version of the publication (accessed through its Digital Object Identifier - DOI)
http://dx.doi.org/10.1002/pamm.200700708
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.