A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy (Q2331013): Difference between revisions
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| Property / DOI: 10.1007/s10203-019-00236-z / rank | |||
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| Property / DOI: 10.1007/S10203-019-00236-Z / rank | |||
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Latest revision as of 02:06, 18 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy |
scientific article |
Statements
A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy (English)
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23 October 2019
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linear goal programming
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risk neutral probability
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equivalent martingale measure
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pricing
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\(f\)-divergence
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relative entropy
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