Computation and analysis for a constrained entropy optimization problem in finance (Q952089)
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scientific article; zbMATH DE number 5362092
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computation and analysis for a constrained entropy optimization problem in finance |
scientific article; zbMATH DE number 5362092 |
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Computation and analysis for a constrained entropy optimization problem in finance (English)
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6 November 2008
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nonlinear PDE
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entropy minimization
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viscosity solution
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uncertain volatility model
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option pricing
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model calibration
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0.86845255
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0.8659345
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0.8649326
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0.8640413
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0.86396307
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0.86217415
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