MODELE STOCHASTICE DE OPTIMIZARE PENTRU PORTOFOLII DE OPŢIUNI FINANCIARE
STOCHASTIC MODELS OF OPTIMIZATION FOR FINANCIAL OPTIONS PORTFOLIO
Author(s): Fărcaş Pavel, Radu MoleriuSubject(s): Economy
Published by: Editura Universităţii Vasile Goldiş
Keywords: Wiener process; Black – Scholes equation; informational energie; entropi; optimization
Summary/Abstract: In this paper we study the energy and the entropy associated to the Black – Scholes solutions and the connection between them. Also we present the models of stochastic optimizations which solve the maximum and minimum informational energy for the Black – Scholes solutions. In the same way we solve the maximum entropy criterion. Using these results we study the values of a financial portfolio options.
Journal: Studia Universitatis Vasile Goldiş, Arad - Seria Ştiinţe Economice
- Issue Year: 18/2008
- Issue No: 3
- Page Range: 660-670
- Page Count: 11
- Language: Romanian
