Talks and Poster Presentations (without Proceedings-Entry):
B. Düring:
"Calibration problems in option pricing";
Talk: Kolloqium, Department of Mathematics, Faculty of Economics & Business,
Zagreb (invited);
2008-09-09.
English abstract:
We consider the problem of identifying volatility functions in Black-Scholes type equations from market data. Starting from an overview on different approaches, we focus on an optimal control approach in a Lagrangian framework. A regularized cost functional is minimized over a suitable set of admissible volatilities. We present analytical results on first- and second-order optimality as well as numerical results.
German abstract:
s. engl. Abstract
Keywords:
calibration problem, volatility, optimal control approach, optimality conditions, SQP
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.