A BOUNDARY FOR THE EXISTENCE OF SOLUTION TO THE MAXIMUM ENTROPY PROBLEM APPLIED IN EUROPEAN CALL OPTIONS

Narek Margaryan

doi:10.46991/PYSU:A/2018.52.1.003

Author

Narek Margaryan *

* Corresponding author

Category: Natural Sciences, Mathematics
DOI: 10.46991/PYSU:A/2018.52.1.003
Published: 2018-04-16
License: CC BY-NC 4.0

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Keywords

boundaryentropydistributionoptions

Cite this article

Margaryan, N. (2018). A BOUNDARY FOR THE EXISTENCE OF SOLUTION TO THE MAXIMUM ENTROPY PROBLEM APPLIED IN EUROPEAN CALL OPTIONS. , Physical and Mathematical Sciences, 52(1 (245), 3-7. https://doi.org/10.46991/PYSU:A/2018.52.1.003

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2018; Physical and Mathematical Sciences, 52(1 (245): 3–7

DOI: 10.46991/PYSU:A/2018.52.1.003

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A BOUNDARY FOR THE EXISTENCE OF SOLUTION TO THE MAXIMUM ENTROPY PROBLEM APPLIED IN EUROPEAN CALL OPTIONS

Narek Margaryan*

Received: 2025-02-04 · Published: 2018-04-16

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

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Original title: A BOUNDARY FOR THE EXISTENCE OF SOLUTION TO THE MAXIMUM ENTROPY PROBLEM APPLIED IN EUROPEAN CALL OPTIONS
Author: Narek Margaryan
Published: 2018-04-16
Licence: Creative Commons Attribution-NonCommercial 4.0 International
Original: https://doi.org/10.46991/PYSU:A/2018.52.1.003

Abstract

The following paper introduces a computationally effective way of finding and utilizing maximum entropy problem boundaries for up to three dimensional cases. The application of the results is concentrated on financial options pricing and reverse distribution calculation. Based on market information in form of current option prices a distribution of future states is constructed. Using the suggested approach it will be possible to identify cases, where no solution to the maximum entropy problem exists, and parameters, for which a feasible solution can be reached.

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A BOUNDARY FOR THE EXISTENCE OF SOLUTION TO THE MAXIMUM ENTROPY PROBLEM APPLIED IN EUROPEAN CALL OPTIONS

Abstract

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