Risk-neutral densities in entropy theory of stock options using Lambert function and a new approach

zbMATH Open1399.91119MaRDI QIDQ4569478FDOQ4569478

Authors: Muhammad Sheraz, Vasile Preda 

Publication date: 28 June 2018

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zbMATH Keywords

option pricingBlack-Scholes modelentropy measuresentropy pricing theory

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Measures of information, entropy (94A17) Financial applications of other theories (91G80)

Cited In (2)

• Non-extensive minimal entropy martingale measures and semi-Markov regime switching interest rate modeling
• Calibration of the risk-neutral density function by maximization of a two-parameter entropy

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