A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy (Q2331013): Difference between revisions

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-.1007/s10203-019-00236-z
@@ Property / DOI: 10.1007/s10203-019-00236-z / rank @@
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+https://doi.org/10.1007/s10203-019-00236-z
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+Q5601960
@@ Property / cites work: Q5601960 / rank @@
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@@ Property / cites work @@
+Q4341416
@@ Property / cites work: Q4341416 / rank @@
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@@ Property / cites work @@
+Minimum-Relative-Entropy Calibration of Asset-Pricing Models
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+Q4266143
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+WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
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+The Pricing of Options and Corporate Liabilities
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+Maximum entropy estimates for risk-neutral probability measures with non-strictly-convex data
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+Arbitrage and universal pricing.
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+Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
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+Maximum entropy distributions inferred from option portfolios on an asset
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+Estimation of Asset Distributions from Option Prices: Analysis and Regularization
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+Entropy densities with an application to autoregressive conditional skewness and kurtosis.
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+Nonparametric state price density estimation using constrained least squares and the bootstrap
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@@ Property / Wikidata QID @@
+Q128365937
@@ Property / Wikidata QID: Q128365937 / rank @@
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@@ Property / DOI @@
+.1007/S10203-019-00236-Z
@@ Property / DOI: 10.1007/S10203-019-00236-Z / rank @@
+Normal rank