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B. Düring:
"Option pricing: Calibration problems and generalized pricing kernels";
Vortrag: University of Sussex, Brighton (eingeladen); 15.03.2010 - 16.03.2010.

s. engl. Abstract

We consider the problem of identifying volatility functions in Black-Scholes type equations from market data. 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. In the second part of the talk we present a new pricing kernel approach for pricing of assets and derivative securities. Prices are determined from expectations of heterogeneous investors. Their information process is modelled by a two-dimensional diffusion with stochastic volatility.

calibration problem, volatility, optimal control approach, optimality conditions, SQP, asset and option pricing, pricing kernel, stochastic volatility

Projektleitung Bertram Düring:
Kinetische Vermögensverteilungsmodelle und diffusive Grenzwert-Gleichungen