Option price calibration from Rényi entropy (Q620907)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5839214
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Option price calibration from Rényi entropy |
scientific article; zbMATH DE number 5839214 |
Statements
Option price calibration from Rényi entropy (English)
0 references
20 January 2011
0 references
Rényi entropy
0 references
Havrda-charvát entropy
0 references
calibration
0 references
risk-neutral evaluation
0 references
0.8826096653938293
0 references
0.8098089098930359
0 references
0.8048372268676758
0 references
0.7984148859977722
0 references
0.7973798513412476
0 references
