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A Family of Maximum Entropy Densities Matching Call Option Prices - MaRDI portal

A Family of Maximum Entropy Densities Matching Call Option Prices (Q4585001)

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scientific article; zbMATH DE number 6932200
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English
A Family of Maximum Entropy Densities Matching Call Option Prices
scientific article; zbMATH DE number 6932200

    Statements

    title
    A Family of Maximum Entropy Densities Matching Call Option Prices (English)
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    author
    Cassio Neri
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    Lorenz Schneider
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    publication date
    5 September 2018
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    zbMATH Keywords
    entropy
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    information theory
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    \(I\)-divergence
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    asset distribution
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    option pricing
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    Identifiers

    zbMATH DE Number
    6932200
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    arXiv ID
    1102.0224
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