scientific article; zbMATH DE number 5759642

MaRDI QIDQ3577629zbMATH OpenFDO

Authors Myeong Geun Jeong

Publication date 22 July 2010

Full work available at URL http://www.m-hikari.com/ijcms-2010/5-8-2010/index.html

zbMATH Keywords

binary optionentropyLagrange multiplier methodprobability of default

Mathematics Subject Classification ID

Problems with incomplete information (optimization) (49N30) Derivative securities (option pricing, hedging, etc.) (91G20) Estimation and detection in stochastic control theory (93E10) Measures of information, entropy (94A17)

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Cited in

(2)

• Relative pricing of binary options in live soccer betting markets
• On a statistical analysis of implied data

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