Option price calibration from Rényi entropy

DOI10.1016/J.PHYSLETA.2007.01.088MaRDI QIDQ620907zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

calibrationrisk-neutral evaluationRényi entropyHavrda-charvát entropy

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Recommendations

• Calibration of the risk-neutral density function by maximization of a two-parameter entropy
• Maximum entropy distributions inferred from option portfolios on an asset
• Entropic calibration revisited
• Preposterior analysis for option pricing
• Maximum entropy method for option pricing

Cites work

• scientific article; zbMATH DE number 3173999 (Why is no real title available?)
• scientific article; zbMATH DE number 3284914 (Why is no real title available?)
• Entropic calibration revisited
• Preposterior analysis for option pricing
• Simple entropic derivation of a generalized Black-Scholes option pricing model
• THE ENTROPY THEORY OF STOCK OPTION PRICING
• THE RANGE OF TRADED OPTION PRICES

Cited in

(15)

• Entropic calibration revisited
• 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
• Rényi entropies, L_q norms and linearization of powers of hypergeometric orthogonal polynomials by means of multivariate special functions
• scientific article; zbMATH DE number 7108979 (Why is no real title available?)
• 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

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)