Simple entropic derivation of a generalized Black-Scholes option pricing model (Q1612932)
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scientific article; zbMATH DE number 1796629
| Language | Label | Description | Also known as |
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| English | Simple entropic derivation of a generalized Black-Scholes option pricing model |
scientific article; zbMATH DE number 1796629 |
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Simple entropic derivation of a generalized Black-Scholes option pricing model (English)
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10 September 2002
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Summary: A straightforward derivation of the celebrated Black-Scholes option pricing model is obtained by solution of a simple constrained minimization of relative entropy. The derivation leads to a natural generalization of it, which is consistent with some evidence from stock index option markets.
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option pricing
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entropic martingale measure
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Black-Scholes
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asset pricing
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