Computation and analysis for a constrained entropy optimization problem in finance

DOI10.1016/J.CAM.2007.10.016MaRDI QIDQ952089zbMATH OpenOpenAlexFDO

Authors C. He, Yuying Li, Thomas F. Coleman

Publication date 6 November 2008

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2007.10.016

zbMATH Keywords

entropy minimizationmodel calibrationnonlinear PDEoption pricinguncertain volatility modelviscosity solution

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Entropy in general topology (54C70) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• Calibrating volatility function bounds for an uncertain volatility model
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• Controlled Markov processes and viscosity solutions
• scientific article; zbMATH DE number 107482 (Why is no real title available?)
• scientific article; zbMATH DE number 1069620 (Why is no real title available?)
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• scientific article; zbMATH DE number 3206496 (Why is no real title available?)
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• Numerical convergence properties of option pricing PDEs with uncertain volatility
• Pricing and hedging derivative securities in markets with uncertain volatilities
• The maximum entropy method
• WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS

Cited in

(2)

• Maximum entropy estimates for risk-neutral probability measures with non-strictly-convex data
• scientific article; zbMATH DE number 7247655 (Why is no real title available?)

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