<div class="csl-bib-body">
<div class="csl-entry">Düring, B. (2007). A semi-smooth Newton method for an inverse problem in option pricing. <i>Proceedings in Applied Mathematics and Mechanics</i>, <i>7</i>(1), 1081105–1081106. https://doi.org/10.1002/pamm.200700708</div>
</div>
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/168851
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dc.description.abstract
We present an optimal control approach using a Lagrangian framework to identify local volatility functions from given option prices. We employ a globalized sequential quadratic programming (SQP) algorithm and implement a line search strategy. The linear-quadratic optimal control problems in each iteration are solved by a primal-dual active set strategy which leads to a semi-smooth Newton method. We present first- and second-order analysis as well as numerical results.
en
dc.description.sponsorship
Deutsche Forschungsgemeinschaft
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dc.language.iso
en
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dc.publisher
Wiley
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dc.relation.ispartof
Proceedings in Applied Mathematics and Mechanics
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dc.subject
parameter identification
en
dc.subject
option pricing
en
dc.subject
Management, Monitoring, Policy and Law
en
dc.subject
Geography, Planning and Development
en
dc.subject
semi-smooth Newton method
en
dc.title
A semi-smooth Newton method for an inverse problem in option pricing
en
dc.type
Artikel
de
dc.type
Article
en
dc.description.startpage
1081105
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dc.description.endpage
1081106
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dc.type.category
Original Research Article
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tuw.container.volume
7
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tuw.container.issue
1
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tuw.peerreviewed
false
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tuw.project.title
Numerics and modeling of nonlinear partial differential equations for the description of credit and price risks
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tuw.researchTopic.id
C4
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tuw.researchTopic.name
Mathematical and Algorithmic Foundations
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tuw.researchTopic.value
100
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dcterms.isPartOf.title
Proceedings in Applied Mathematics and Mechanics
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tuw.publication.orgunit
E101-01 - Forschungsbereich Analysis
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tuw.publisher.doi
10.1002/pamm.200700708
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dc.date.onlinefirst
2008-10-30
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dc.identifier.eissn
1617-7061
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dc.description.numberOfPages
2
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wb.sciencebranch
Mathematik, Informatik
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wb.sciencebranch.oefos
11
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wb.facultyfocus
Analysis und Scientific Computing
de
wb.facultyfocus
Analysis and Scientific Computing
en
wb.facultyfocus.faculty
E100
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Publications
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Artikel
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en
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http://purl.org/coar/resource_type/c_18cf
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http://purl.org/coar/resource_type/c_18cf
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crisitem.author.dept
E101 - Institut für Analysis und Scientific Computing