Düring, B, Jüngel, A and Volkwein, S (2008) Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing. Journal of Optimization Theory and Applications, 139 (3). pp. 515-540. ISSN 0022-3239
Full text not available from this repository.Abstract
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.
Item Type: | Article |
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Schools and Departments: | School of Mathematical and Physical Sciences > Mathematics |
Depositing User: | Bertram During |
Date Deposited: | 06 Feb 2012 21:29 |
Last Modified: | 30 Apr 2012 16:19 |
URI: | http://sro.sussex.ac.uk/id/eprint/31421 |