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Sequential quadratic programming method for volatility estimation in option pricing

Sequential quadratic programming method for volatility estimation in option pricing

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DÜRING, Bertram, Ansgar JÜNGEL, Stefan VOLKWEIN, 2008. Sequential quadratic programming method for volatility estimation in option pricing. In: Journal of Optimization Theory and Applications. 139(3), pp. 515-540. ISSN 0022-3239. Available under: doi: 10.1007/s10957-008-9404-4

@article{During2008Seque-18664, title={Sequential quadratic programming method for volatility estimation in option pricing}, year={2008}, doi={10.1007/s10957-008-9404-4}, number={3}, volume={139}, issn={0022-3239}, journal={Journal of Optimization Theory and Applications}, pages={515--540}, author={Düring, Bertram and Jüngel, Ansgar and Volkwein, Stefan} }

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