Computation and analysis for a constrained entropy optimization problem in finance

DOI10.1016/J.CAM.2007.10.016zbMATH Open1153.91020OpenAlexW2041556846MaRDI QIDQ952089FDOQ952089

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

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zbMATH Keywords

option pricinguncertain volatility modelviscosity solutionnonlinear PDEmodel calibrationentropy minimization

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) 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) Entropy in general topology (54C70)

Cites Work

• Title not available (Why is that?)
• Controlled Markov processes and viscosity solutions
• Title not available (Why is that?)
• Numerical convergence properties of option pricing PDEs with uncertain volatility
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Title not available (Why is that?)
• The maximum entropy method
• Title not available (Why is that?)
• Calibrating volatility surfaces via relative-entropy minimization
• Calibrating volatility function bounds for an uncertain volatility model
• WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model

Cited In (2)

• Title not available (Why is that?)
• Maximum entropy estimates for risk-neutral probability measures with non-strictly-convex data

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