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~institution:"Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften"
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Dupire equation
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SQP method
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optimal control
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optimality conditions
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parameter identification
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primal-dual active set strategy
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Düring, Bertram
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Jüngel, Ansgar
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Volkwein, S.
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Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften
Erasmus University Rotterdam, Econometric Institute
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
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COMISEF
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Department of Agricultural and Resource Economics, University of California-Davis
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Ehrvervøkonomisk Institut, Institut for Økonomi
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A Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing
Düring, Bertram
;
Jüngel, Ansgar
;
Volkwein, S.
-
Zentrum für Finanzen und Ökonometrie, Fachbereich …
-
2006
of the SQP method a linear-quadratic optimal control problem with box constraints is solved by a
primal-dual
active set …
Persistent link: https://www.econbiz.de/10005562285
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