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

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)

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Cites work

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• Calibrating volatility function bounds for an uncertain volatility model
• Calibrating volatility surfaces via relative-entropy minimization
• Controlled Markov processes and viscosity solutions
• 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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