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

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2007.10.016
+Normal rank
@@ Property / OpenAlex ID @@
+W2041556846
@@ Property / OpenAlex ID: W2041556846 / rank @@
+Normal rank
@@ Property / cites work @@
+WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
+Normal rank
@@ Property / cites work @@
+Calibrating volatility surfaces via relative-entropy minimization
+Normal rank
@@ Property / cites work @@
+Pricing and hedging derivative securities in markets with uncertain volatilities
+Normal rank
@@ Property / cites work @@
+Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
+Normal rank
@@ Property / cites work @@
+Q4356582
@@ Property / cites work: Q4356582 / rank @@
+Normal rank
@@ Property / cites work @@
+Calibrating volatility function bounds for an uncertain volatility model
+Normal rank
@@ Property / cites work @@
+Q4023085
@@ Property / cites work: Q4023085 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4399897
@@ Property / cites work: Q4399897 / rank @@
+Normal rank
@@ Property / cites work @@
+Controlled Markov processes and viscosity solutions
+Normal rank
@@ Property / cites work @@
+Q5332396
@@ Property / cites work: Q5332396 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical convergence properties of option pricing PDEs with uncertain volatility
+Normal rank
@@ Property / cites work @@
+The maximum entropy method
@@ Property / cites work: The maximum entropy method / rank @@
+Normal rank