Computation and analysis for a constrained entropy optimization problem in finance
type: Item
instance of: scholarly article
title: Computation and analysis for a constrained entropy optimization problem in finance
zbMATH Open document ID: 1153.91020
author: C. He
author: Yuying Li
author: Thomas F. Coleman
published in: Journal of Computational and Applied Mathematics
publication date: 2008-11-06T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 35K55
Mathematics Subject Classification ID: 54C70
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65M12
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 5362092
zbMATH Keywords: nonlinear PDE
zbMATH Keywords: entropy minimization
zbMATH Keywords: viscosity solution
zbMATH Keywords: uncertain volatility model
zbMATH Keywords: option pricing
zbMATH Keywords: model calibration
MaRDI profile type: Publication
full work available at URL: j.cam.2007.10.016
OpenAlex ID: W2041556846
cites work: WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
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cites work: The maximum entropy method
DOI: 10.1016/J.CAM.2007.10.016
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description: scientific article; zbMATH DE number 5362092