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Parameter identification in financial market models with a feasible point SQP algorithm

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Listed:
  • F. Gerlich
  • A. Giese
  • J. Maruhn
  • E. Sachs

Abstract

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Suggested Citation

  • F. Gerlich & A. Giese & J. Maruhn & E. Sachs, 2012. "Parameter identification in financial market models with a feasible point SQP algorithm," Computational Optimization and Applications, Springer, vol. 51(3), pages 1137-1161, April.
    • Handle: RePEc:spr:coopap:v:51:y:2012:i:3:p:1137-1161
    DOI: 10.1007/s10589-010-9369-8
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    References listed on IDEAS

    as
    1. Kilin, Fiodar, 2007. "Accelerating the calibration of stochastic volatility models," CPQF Working Paper Series 6, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    2. Gabriel Turinici, 2009. "Calibration of local volatility using the local and implied instantaneous variance," Post-Print hal-00338114, HAL.
    3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    4. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
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    Cited by:

    1. Cui, Yiran & del Baño Rollin, Sebastian & Germano, Guido, 2017. "Full and fast calibration of the Heston stochastic volatility model," European Journal of Operational Research, Elsevier, vol. 263(2), pages 625-638.
    2. Eudald Romo & Luis Ortiz-Gracia, 2021. "SWIFT Calibration of the Heston Model," Mathematics, MDPI, vol. 9(5), pages 1-20, March.

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