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
Keywords:
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)
http://dx.doi.org/10.1007/s10957-008-9404-4
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.