Publikation:

A Sequential Quadratic Programming Method For Volatility Estimation In Option Pricing

Vorschaubild

Dateien

dp06_02.pdf
dp06_02.pdfGröße: 476.27 KBDownloads: 584

Datum

2006

Autor:innen

Düring, Bertram
Jüngel, Ansgar

Herausgeber:innen

Kontakt

ISSN der Zeitschrift

Electronic ISSN

ISBN

Bibliografische Daten

Verlag

Schriftenreihe

Auflagebezeichnung

URI (zitierfähiger Link)
http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-18793
DOI (zitierfähiger Link)
ArXiv-ID

Internationale Patentnummer

Link zur Lizenz
Urheberrechtlich geschützt

Angaben zur Forschungsförderung

Projekt

Open Access-Veröffentlichung
Open Access Green

Sammlungen

Mathematik und Statistik: Publikationen
Core Facility der Universität Konstanz

Gesperrt bis

Titel in einer weiteren Sprache

Publikationstyp
Working Paper/Technical Report
Publikationsstatus
Published

Erschienen in

Zusammenfassung

Our goal is to identify the volatility function in Dupire's equation from given option prices. Following an optimal control approach in a Lagrangian framework, we propose a globalized sequential quadratic programming (SQP) algorithm with a modified Hessian { to ensure that every SQP step is a descent direction { and implement a line search strategy. In each level of the SQP method a linear{quadratic optimal control problem with box constraints is solved by a primal{dual active set strategy. This guarantees L1 constraints for the volatility, in particular assuring its positivity. The proposed algorithm is founded on a thorough first{ and second{order optimality analysis. We prove the existence of local optimal solutions and of a Lagrange multiplier associated with the inequality constraints. Furthermore, we prove a sufficient second-order optimality condition and present some numerical results underlining the good properties of the numerical scheme.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

option pricing

Konferenz

Rezension
undefined / . - undefined, undefined

Forschungsvorhaben

Organisationseinheiten

Zeitschriftenheft

Zugehörige Datensätze in KOPS

Zitieren

ISO 690DÜRING, Bertram, Ansgar JÜNGEL, Stefan VOLKWEIN, 2006. A Sequential Quadratic Programming Method For Volatility Estimation In Option Pricing
BibTex
@techreport{During2006Seque-521,
  year={2006},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={A Sequential Quadratic Programming Method For Volatility Estimation In Option Pricing},
  number={2006/02},
  author={Düring, Bertram and Jüngel, Ansgar and Volkwein, Stefan}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/521">
    <dc:creator>Jüngel, Ansgar</dc:creator>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dc:format>application/pdf</dc:format>
    <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/521/1/dp06_02.pdf"/>
    <dc:creator>Volkwein, Stefan</dc:creator>
    <dc:contributor>Düring, Bertram</dc:contributor>
    <dc:language>eng</dc:language>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dc:contributor>Volkwein, Stefan</dc:contributor>
    <dc:creator>Düring, Bertram</dc:creator>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:44:54Z</dc:date>
    <dc:contributor>Jüngel, Ansgar</dc:contributor>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dcterms:issued>2006</dcterms:issued>
    <dc:rights>terms-of-use</dc:rights>
    <dcterms:title>A Sequential Quadratic Programming Method For Volatility Estimation In Option Pricing</dcterms:title>
    <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/521/1/dp06_02.pdf"/>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dcterms:abstract xml:lang="eng">Our goal is to identify the volatility function in Dupire's equation from given option prices. Following an optimal control approach in a Lagrangian framework, we propose a globalized sequential quadratic programming (SQP) algorithm with a modified Hessian { to ensure that every SQP step is a descent direction { and implement a line search strategy. In each level of the SQP method a linear{quadratic optimal control problem with box constraints is solved by a primal{dual active set strategy. This guarantees L1 constraints for the volatility, in particular assuring its positivity. The proposed algorithm is founded on a thorough first{ and second{order optimality analysis. We prove the existence of local optimal solutions and of a Lagrange multiplier associated with the inequality constraints. Furthermore, we prove a sufficient second-order optimality condition and present some numerical results underlining the good properties of the numerical scheme.</dcterms:abstract>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:44:54Z</dcterms:available>
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/521"/>
    <dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
  </rdf:Description>
</rdf:RDF>

Interner Vermerk

xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter

Kontakt
URL der Originalveröffentl.

Prüfdatum der URL

Prüfungsdatum der Dissertation

Finanzierungsart

Kommentar zur Publikation

Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Nein
Begutachtet
Diese Publikation teilen