Simple entropic derivation of a generalized Black-Scholes option pricing model
From MaRDI portal
Publication:1612932
DOI10.3390/E2020070zbMATH Open1009.91039OpenAlexW2165715030MaRDI QIDQ1612932FDOQ1612932
Authors: Michael J. Stutzer 
Publication date: 10 September 2002
Published in: Entropy (Search for Journal in Brave)
Full work available at URL: http://www.mdpi.org/entropy/list00.htm
Recommendations
Cited In (15)
- Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation
- Brexit and foreign exchange market expectations: could it have been predicted?
- Entropy augmented asset pricing model: study on Indian stock market
- Minimum cross entropy formalism of the binomial tree model for option pricing
- Measurement of relative inequity and Yaari's dual theory of risk.
- Autoregressive trending risk function and exhaustion in random asset price movement
- Implications of quantal response statistical equilibrium
- Estimating utility functions using generalized maximum entropy
- Option price calibration from Rényi entropy
- On Black-Scholes option pricing model with stochastic volatility: an information theoretic approach
- THE ENTROPY THEORY OF BOND OPTION PRICING
- THE ENTROPY THEORY OF STOCK OPTION PRICING
- BSM model for ML-payoff function through PDTM
- A Black-Scholes Schrödinger option price: `bit' versus `qubit'
- Entropic calibration revisited
This page was built for publication: Simple entropic derivation of a generalized Black-Scholes option pricing model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1612932)
