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

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Revision as of 18:25, 20 July 2024

scientific article
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A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy
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    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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