Simple entropic derivation of a generalized Black-Scholes option pricing model

DOI10.3390/E2020070MaRDI QIDQ1612932zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

option pricingBlack-Scholesasset pricingentropic martingale measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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