НАН РА. Математические вопросы кибернетики и вычислительной техники=Mathematical problems of computer science

Existence of Maximum Entropy Problem Solution in a General N-Dimensional Case

Gevorgyan, Ruben A. and Margaryan, Narek D. (2018) Existence of Maximum Entropy Problem Solution in a General N-Dimensional Case. Математические вопросы кибернетики и вычислительной техники, № 49. pp. 97-102. ISSN 0131-4645

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    Abstract

    In the following paper, we will define conditions, which need to be satisfied in order for the maximum entropy problem applied in European call options to have a solution in a general n-dimensional case. We will also find a minimum right boundary for the price range in order to have at least one risk neutral measure satisfying the option pricing formula. The results significantly reduce the computational time of optimization algorithms used in maximum entropy problem.

    Item Type: Article
    Additional Information: Ընդհանուր N-չափանի դեպքում առավելագույն էնտրոպիայի խնդրի լուծման գոյությունը / Ռ. Գևորգյան, Ն. Մարգարյան։ Существование решения проблемы максимальной энтропии в общем N-мерном случае / Р. Геворгян, Н. Маргарян
    Uncontrolled Keywords: Entropy, Boundary, Distribution, Options.
    Subjects: Q Science > QA Mathematics > Algorithm
    Divisions: UNSPECIFIED
    Depositing User: FSL Bibl. Dept.
    Date Deposited: 24 Oct 2018 12:43
    Last Modified: 25 Oct 2018 11:41
    URI: http://compsci.asj-oa.am/id/eprint/906

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