Computation and analysis for a constrained entropy optimization problem in finance (Q952089): Difference between revisions

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Latest revision as of 18:46, 28 June 2024

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Computation and analysis for a constrained entropy optimization problem in finance
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    Computation and analysis for a constrained entropy optimization problem in finance (English)
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    6 November 2008
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    nonlinear PDE
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    entropy minimization
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    viscosity solution
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    uncertain volatility model
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    option pricing
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    model calibration
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