Talks and Poster Presentations (without Proceedings-Entry):
B. Düring:
"Calibration problems in option pricing";
Talk: Kolloquium, Frankfurt School of Finance & Management,
Frankfurt (invited);
2009-05-14.
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 propose an algorithm that is based on sequential quadratic programming and present analytical 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.