Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean (Q5363202)
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scientific article; zbMATH DE number 6786536
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean |
scientific article; zbMATH DE number 6786536 |
Statements
Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean (English)
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5 October 2017
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risk-neutral measure reconstruction
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maximum entropy in the mean
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inverse problems
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