A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy
Publication:2331013
DOI10.1007/S10203-019-00236-ZzbMath1426.91280OpenAlexW2914048558WikidataQ128365937 ScholiaQ128365937MaRDI QIDQ2331013
Olivia Peraita-Ezcurra, José L. Vilar-Zanón
Publication date: 23 October 2019
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-019-00236-z
relative entropyequivalent martingale measurepricing\(f\)-divergencelinear goal programmingrisk neutral probability
Multi-objective and goal programming (90C29) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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