Maximum entropy method for option pricing

zbMATH Open1240.91164MaRDI QIDQ3014075FDOQ3014075

Authors: Yinghua Li, Xingsi Li 

Publication date: 19 July 2011

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• scientific article; zbMATH DE number 5307295

zbMATH Keywords

option pricingmaximum entropy formalismself-financing portfoliono-arbitrage theory

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (20)

• Probability Distributions of Assets Inferred from Option Prices via the Principle of Maximum Entropy
• Pricing option of Shanghai 50ETF based on the methods of maximum entropy and minimum cross-entropy
• Pricing of European option based on Tsallis entropy and update process
• Entropy concepts applied to option pricing
• Minimum cross entropy formalism of the binomial tree model for option pricing
• Risk-neutral densities in entropy theory of stock options using Lambert function and a new approach
• Preposterior analysis for option pricing
• Maxentropic construction of risk neutral measures: discrete market models
• A direct solution method for pricing options involving the maximum process
• Option price calibration from Rényi entropy
• Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles
• Maximum entropy distributions inferred from option portfolios on an asset
• Application of maximum entropy method on option pricing
• Title not available (Why is that?)
• Simple entropic derivation of a generalized Black-Scholes option pricing model
• Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean
• THE ENTROPY THEORY OF BOND OPTION PRICING
• Calibration of the risk-neutral density function by maximization of a two-parameter entropy
• THE ENTROPY THEORY OF STOCK OPTION PRICING
• A Family of Maximum Entropy Densities Matching Call Option Prices

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