A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy

DOI10.1007/s10203-019-00236-zzbMath1426.91280OpenAlexW2914048558WikidataQ128365937 ScholiaQ128365937MaRDI QIDQ2331013

Olivia Peraita-Ezcurra, José L. Vilar-Zanón

Publication date: 23 October 2019

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-019-00236-z

zbMATH Keywords

relative entropyequivalent martingale measurepricing\(f\)-divergencelinear goal programmingrisk neutral probability

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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