Parameter identification in financial market models with a feasible point SQP algorithm
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References listed on IDEAS
- Gabriel Turinici, 2009. "Calibration of local volatility using the local and implied instantaneous variance," Post-Print hal-00338114, HAL.
- 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).
- 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.
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- Yiran Cui & Sebastian del Ba~no Rollin & Guido Germano, 2015. "Full and fast calibration of the Heston stochastic volatility model," Papers 1511.08718, arXiv.org, revised May 2016.
- repec:eee:ejores:v:263:y:2017:i:2:p:625-638 is not listed on IDEAS
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KeywordsParameter identification; Stochastic volatility models; Feasibility perturbed sequential quadratic programming;
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