Entropic calibration revisited (Q2478759): Difference between revisions

@@ Property / author @@
-Ian R. C. Buckley
@@ Property / author: Ian R. C. Buckley / rank @@
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@@ Property / author @@
+Ian R. C. Buckley
@@ Property / author: Ian R. C. Buckley / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.physleta.2005.01.076
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@@ Property / OpenAlex ID @@
+W2012789961
@@ Property / OpenAlex ID: W2012789961 / rank @@
+Normal rank
@@ Property / cites work @@
+Minimum-Relative-Entropy Calibration of Asset-Pricing Models
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@@ Property / cites work @@
+The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
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@@ Property / cites work @@
+Simple entropic derivation of a generalized Black-Scholes option pricing model
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@@ Property / cites work @@
+THE ENTROPY THEORY OF STOCK OPTION PRICING
@@ Property / cites work: THE ENTROPY THEORY OF STOCK OPTION PRICING / rank @@
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@@ Property / cites work @@
+Entropy and information in the interest rate term structure
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@@ Property / cites work @@
+A market-induced mechanism for stock pinning
@@ Property / cites work: A market-induced mechanism for stock pinning / rank @@
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@@ Property / cites work @@
+Option price when the stock is a semimartingale
@@ Property / cites work: Option price when the stock is a semimartingale / rank @@
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@@ Property / cites work @@
+Preposterior analysis for option pricing
@@ Property / cites work: Preposterior analysis for option pricing / rank @@
+Normal rank