Parameter identification in financial market models with a feasible point SQP algorithm
| Year of publication: |
2012
|
|---|---|
| Authors: | Gerlich, F. ; Giese, A. ; Maruhn, J. ; Sachs, E. |
| Published in: |
Computational Optimization and Applications. - Springer. - Vol. 51.2012, 3, p. 1137-1161
|
| Publisher: |
Springer |
| Subject: | Parameter identification | Stochastic volatility models | Feasibility perturbed sequential quadratic programming |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10010539369