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A Sequential Quadratic Programming Method For Volatility Estimation In Option Pricing

A Sequential Quadratic Programming Method For Volatility Estimation In Option Pricing

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DÜRING, Bertram, Ansgar JÜNGEL, Stefan VOLKWEIN, 2006. A Sequential Quadratic Programming Method For Volatility Estimation In Option Pricing

@techreport{During2006Seque-521, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={A Sequential Quadratic Programming Method For Volatility Estimation In Option Pricing}, year={2006}, number={2006/02}, author={Düring, Bertram and Jüngel, Ansgar and Volkwein, Stefan} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/521"> <dc:format>application/pdf</dc:format> <dcterms:rights rdf:resource="http://nbn-resolving.org/urn:nbn:de:bsz:352-20140905103416863-3868037-7"/> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/521"/> <dcterms:title>A Sequential Quadratic Programming Method For Volatility Estimation In Option Pricing</dcterms:title> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:44:54Z</dcterms:available> <dc:contributor>Volkwein, Stefan</dc:contributor> <dcterms:issued>2006</dcterms:issued> <dc:creator>Düring, Bertram</dc:creator> <dc:language>eng</dc:language> <dc:creator>Jüngel, Ansgar</dc:creator> <dc:contributor>Düring, Bertram</dc:contributor> <dc:rights>deposit-license</dc:rights> <dc:creator>Volkwein, Stefan</dc:creator> <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> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:44:54Z</dc:date> <dc:contributor>Jüngel, Ansgar</dc:contributor> </rdf:Description> </rdf:RDF>

Dateiabrufe seit 01.10.2014 (Informationen über die Zugriffsstatistik)

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