A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy (Q2331013)
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scientific article; zbMATH DE number 7121747
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy |
scientific article; zbMATH DE number 7121747 |
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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0.8542193174362183
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0.8042832612991333
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0.8000423908233643
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0.7920381426811218
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0.7814730405807495
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