Publications in Scientific Journals:

B. Düring, A. Jüngel, S. Volkwein:
"Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing";
Journal of Optimization Theory and Applications, 139 (2008), 3; 515 - 540.

English abstract:
Our goal is to identify the volatility function in Dupire´s equation from given option prices. Following an optimal control approach in a Lagrangian framework, a globalized sequential quadratic programming (SQP) algorithm combined with a primal-dual active set strategy is proposed. Existence of local optimal solutions and of Lagrange multipliers is shown. Furthermore, a sufficient second-order optimality condition is proved. Finally, some numerical results are presented underlining the good properties of the numerical scheme.

German abstract:
s. engl Abstract

Dupire equation, Parameter identification, Optimal control, Optimality conditions, SQP method. Primal-dual active set strategy

"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.