L-BFGS algorithm


niccolo381
12-22-2006, 04:45 PM
Dear all,

I'm working in mathematical finance and I'm trying to find a good way to minimize a certain non-linear function subject to the constraints that my probability distribution must be able to match the option prices in the market. Anyway, I have decided to use this so called L-BFGS algorithm to do this. Does anyone know where I can get this for matlab? I see it available for fortran and some parts are in matlab and fortran, but i'm sure someone has all the code somewhere in all matlab. Anyone that can help out it would be much appreciated!

Nik