The minimum-entropy algorithm and related methods for calibrating asset-pricing models

zbMATH Open0904.90022MaRDI QIDQ1126850FDOQ1126850

Authors: Marco Avellaneda 

Publication date: 5 August 1998

Published in: Documenta Mathematica (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/225716

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zbMATH Keywords

asset-pricingminimum-entropy algorithm

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of mathematical programming (90C90) Signal detection and filtering (aspects of stochastic processes) (60G35) Microeconomic theory (price theory and economic markets) (91B24)

Cited In (9)

• Limiting distributions for minimum relative entropy calibration
• Convex regularization of local volatility estimation
• An approximation pricing algorithm in an incomplete market: a differential geometric approach
• Incorporating views on marginal distributions in the calibration of risk models
• In memoriam: Marco Avellaneda (1955–2022)
• Minimum-relative-entropy calibration of asset-pricing models
• Maximum entropy estimates for risk-neutral probability measures with non-strictly-convex data
• Calibrating volatility surfaces via relative-entropy minimization
• Probability interference in expected utility theory

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