Computation and analysis for a constrained entropy optimization problem in finance

DOI10.1016/j.cam.2007.10.016zbMath1153.91020OpenAlexW2041556846MaRDI QIDQ952089

Yuying Li, Changhong He, 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

viscosity solutionoption pricingnonlinear PDEmodel calibrationuncertain volatility modelentropy minimization

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Microeconomic theory (price theory and economic markets) (91B24) 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) Entropy in general topology (54C70)

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