Düring, Bertram; Jüngel, Ansgar; Volkwein, S. - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2006
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...