Put Option as Joint Distribution Function in Strike and Maturity

2010 ◽  
pp. 143-159
Author(s):  
Christophe Profeta ◽  
Bernard Roynette ◽  
Marc Yor
Keyword(s):  
Distribution Function ◽  
Joint Distribution ◽  
Joint Distribution Function ◽  
Put Option

scholarly journals Double Entropy Joint Distribution Function and Its Application in Calculation of Design Wave Height

Entropy ◽  
2019 ◽  
Vol 21 (1) ◽  
pp. 64 ◽  
Author(s):  
Guilin Liu ◽  
Baiyu Chen ◽  
Song Jiang ◽  
Hanliang Fu ◽  
Liping Wang ◽  
...  
Keyword(s):  
Distribution Function ◽  
Maximum Entropy ◽  
Wave Height ◽  
Joint Distribution ◽  
Height Function ◽  
Copula Function ◽  
Wave Period ◽  
Ocean Engineering ◽  
Joint Distribution Function ◽  
Design Wave Height

Wave height and wave period are important oceanic environmental factors that are used to describe the randomness of a wave. Within the field of ocean engineering, the calculation of design wave height is of great significance. In this paper, a periodic maximum entropy distribution function with four undetermined parameters is derived by means of coordinate transformation and solving conditional variational problems. A double entropy joint distribution function of wave height and wave period is also derived. The function is derived from the maximum entropy wave height function and the maximum entropy periodic function, with the help of structures of the Copula function. The double entropy joint distribution function of wave height and wave period is not limited by weak nonlinearity, nor by normal stochastic process and narrow spectrum. Besides, it can fit the observed data more carefully and be more widely applicable to nonlinear waves in various cases, owing to the many undetermined parameters it contains. The engineering cases show that the recurrence level derived from the double entropy joint distribution function is higher than that from the extreme value distribution using the single variables of wave height or wave period. It is also higher than that from the traditional joint distribution function of wave height and wave period.

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