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    Entropy, Vol. 21, Pages 788: Pricing Interval European Option with the Principle of Maximum Entropy (2019)
    MDPI
    In: Entropy
    Details
    Publication Date: 2019
    Description: This paper develops the interval maximum entropy model for the interval European option valuation by estimating an underlying asset distribution. The refined solution for the model is obtained by the Lagrange multiplier. The particle swarm optimization algorithm is applied to calculate the density function of the underlying asset, which can be utilized to price the Shanghai Stock Exchange (SSE) 50 Exchange Trades Funds (ETF) option of China and the Boeing stock option of the United States. Results show that maximum entropy distribution provides precise estimations for the underlying asset of interval number situations. In this way, we can get the distribution of the underlying assets and apply it to the interval European option pricing in the financial market.
    Electronic ISSN: 1099-4300
    Topics: Chemistry and Pharmacology , Physics
    Published by MDPI
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