Calibrating volatility surfaces via relative-entropy minimization

DOI10.1080/135048697334827zbMath1007.91015OpenAlexW3122895457MaRDI QIDQ4541541

Craig Friedman, Richard L. Holmes, Dominick Samperi, Marco Avellaneda

Publication date: 4 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/135048697334827

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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