Maximum entropy method for option pricing

MaRDI QIDQ3014075zbMATH OpenFDO

Authors Yinghua Li, Xingsi Li

Publication date 19 July 2011

zbMATH Keywords

maximum entropy formalismno-arbitrage theoryoption pricingself-financing portfolio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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• scientific article; zbMATH DE number 5307295

Cited in

(21)

• Simple entropic derivation of a generalized Black-Scholes option pricing model
• Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles
• Maximum entropy distributions inferred from option portfolios on an asset
• Calibration of the risk-neutral density function by maximization of a two-parameter entropy
• A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy
• A direct solution method for pricing options involving the maximum process
• Minimum cross entropy formalism of the binomial tree model for option pricing
• THE ENTROPY THEORY OF BOND OPTION PRICING
• scientific article; zbMATH DE number 5307295 (Why is no real title available?)
• THE ENTROPY THEORY OF STOCK OPTION PRICING
• Probability Distributions of Assets Inferred from Option Prices via the Principle of Maximum Entropy
• Risk-neutral densities in entropy theory of stock options using Lambert function and a new approach
• A Family of Maximum Entropy Densities Matching Call Option Prices
• Preposterior analysis for option pricing
• Entropy concepts applied to option pricing
• Pricing option of Shanghai 50ETF based on the methods of maximum entropy and minimum cross-entropy
• Pricing of European option based on Tsallis entropy and update process
• Maxentropic construction of risk neutral measures: discrete market models
• Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean
• Application of maximum entropy method on option pricing
• Option price calibration from Rényi entropy

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