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,
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.
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)
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.