Option price calibration from Rényi entropy
From MaRDI portal
Publication:620907
DOI10.1016/J.PHYSLETA.2007.01.088zbMATH Open1203.91284OpenAlexW2065041579WikidataQ62272459 ScholiaQ62272459MaRDI QIDQ620907FDOQ620907
Authors: Dorje C. Brody, Ian R. C. Buckley, Irene C. Constantinou 
Publication date: 20 January 2011
Published in: Physics Letters. A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physleta.2007.01.088
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)
Cites Work
Cited In (15)
- Entropy concepts applied to option pricing
- Applications of entropy in finance: a review
- Risk-neutral densities in entropy theory of stock options using Lambert function and a new approach
- Preposterior analysis for option pricing
- A maximum (non-extensive) entropy approach to equity options bid-ask spread
- Incorporating views on marginal distributions in the calibration of risk models
- Maximum entropy distributions inferred from option portfolios on an asset
- Entropy binomial tree method and calibration for the volatility smile
- Rényi entropies for multidimensional hydrogenic systems in position and momentum spaces
- Title not available (Why is that?)
- Rényi entropies, \(L_q\) norms and linearization of powers of hypergeometric orthogonal polynomials by means of multivariate special functions
- Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean
- Calibration of the risk-neutral density function by maximization of a two-parameter entropy
- A Family of Maximum Entropy Densities Matching Call Option Prices
- Entropic calibration revisited
This page was built for publication: Option price calibration from Rényi entropy
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q620907)
