PROPERTIES OF THE ENTROPY AND INFORMATIONAL ENERGY FOR THE SOLUTIONS OF BLACK-SCHOLES EQUATIONS
Journal Title: ROMANIAN JOURNAL OF TECHNICAL SCIENCES - APPLIED MECHANICS - Year 2009, Vol 54, Issue 1
Abstract
This paper studies the properties of the solutions of some stochastic differential equations and Black-Scholes type equations, in the n-dimensional case Rn, from the point of view of informational energy and entropy associated and the relations that have been determined among these measurements are also presented. The characteristics of some solutions for Black-Scholes equations are presented as well using the maximum entropy criterion.
Authors and Affiliations
Radu MOLERIU, Pavel FĂRCAŞ
Keywords
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