Maximum entropy distributions inferred from option portfolios on an asset
From MaRDI portal
Publication:1761445
DOI10.1007/s00780-011-0167-7zbMath1259.91048arXiv0903.4542MaRDI QIDQ1761445
Publication date: 15 November 2012
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0903.4542
91B70: Stochastic models in economics
91B24: Microeconomic theory (price theory and economic markets)
94A17: Measures of information, entropy
91G10: Portfolio theory
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Cites Work
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- Probability Distributions of Assets Inferred from Option Prices via the Principle of Maximum Entropy
- Calibrating volatility surfaces via relative-entropy minimization
- EMPIRICAL COPULAS FOR CDO TRANCHE PRICING USING RELATIVE ENTROPY
- The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
