Probability Distributions of Assets Inferred from Option Prices via the Principle of Maximum Entropy
From MaRDI portal
Publication:4441966
DOI10.1137/S1052623401400324zbMath1050.91037OpenAlexW2004793002WikidataQ56935727 ScholiaQ56935727MaRDI QIDQ4441966
Jonathan M. Borwein, Pierre Maréchal, Rustum Choksi
Publication date: 19 January 2004
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s1052623401400324
Convex programming (90C25) Derivative securities (option pricing, hedging, etc.) (91G20) Duality theory (optimization) (49N15)
Related Items
Applications of entropy in finance: a review ⋮ Non-extensive minimal entropy martingale measures and semi-Markov regime switching interest rate modeling ⋮ Determining and benchmarking risk neutral distributions implied from option prices ⋮ No-arbitrage bounds for the forward smile given marginals ⋮ A Family of Maximum Entropy Densities Matching Call Option Prices ⋮ Convex analysis in financial mathematics ⋮ Entropy Maximization in Finance ⋮ ESTIMATING UNIVARIATE DISTRIBUTIONS VIA RELATIVE ENTROPY MINIMIZATION: CASE STUDIES ON FINANCIAL AND ECONOMIC DATA ⋮ Maximum entropy estimates for risk-neutral probability measures with non-strictly-convex data ⋮ EMPIRICAL COPULAS FOR CDO TRANCHE PRICING USING RELATIVE ENTROPY ⋮ Maximum entropy distributions inferred from option portfolios on an asset ⋮ CALIBRATED OPTION BOUNDS
