Entropy concepts applied to option pricing

MaRDI QIDQ4685168zbMATH OpenFDO

Authors Radu Tunaru

Publication date 5 October 2018

zbMATH Keywords

informational energyKullback-Leibler divergence measureoptimisationoption pricing

Mathematics Subject Classification ID

Characterization and structure theory of statistical distributions (62E10) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80) Measures of information, entropy (94A17)

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• THE ENTROPY THEORY OF STOCK OPTION PRICING
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Cited in

(6)

• Applications of entropy in finance: a review
• An information geometry problem in mathematical finance
• THE ENTROPY THEORY OF BOND OPTION PRICING
• scientific article; zbMATH DE number 5307295 (Why is no real title available?)
• Relative Entropy Criterion and CAPM-Like Pricing
• Entropic Conditions and Hedging

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