University of Sussex
Browse

File(s) not publicly available

Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing

journal contribution
posted on 2023-06-08, 10:07 authored by Bertram Duering, A Jüngel, S Volkwein
Our goal is to identify the volatility function in Dupires 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.

History

Publication status

  • Published

Journal

Journal of Optimization Theory and Applications

ISSN

0022-3239

Publisher

Springer Verlag

Issue

3

Volume

139

Page range

515-540

Department affiliated with

  • Mathematics Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-02-06

Usage metrics

    University of Sussex (Publications)

    Categories

    No categories selected

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC