Düring, Bertram; Jüngel, Ansgar; Volkwein, S. - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2006
of the SQP method a linear-quadratic optimal control problem with box constraints is solved by a primal-dual active set … strategy. This guarantees L1 constraints for the volatility, in particular assuring its positivity. The proposed algorithm is …
