Maximum entropy distributions inferred from option portfolios on an asset (Q1761445): Difference between revisions

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+Calibrating volatility surfaces via relative-entropy minimization
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+Probability Distributions of Assets Inferred from Option Prices via the Principle of Maximum Entropy
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+Entropic calibration revisited
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+Option price calibration from Rényi entropy
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+I-divergence geometry of probability distributions and minimization problems
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+EMPIRICAL COPULAS FOR CDO TRANCHE PRICING USING RELATIVE ENTROPY
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+The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
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+THE ENTROPIC MARKET HYPOTHESIS
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+THE ENTROPY THEORY OF BOND OPTION PRICING
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+Information Theory and Statistical Mechanics
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+A Mathematical Theory of Communication
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