The minimum-entropy algorithm and related methods for calibrating asset-pricing models

zbMath0904.90022MaRDI QIDQ1126850

Marco Avellaneda

Publication date: 5 August 1998

Published in: Documenta Mathematica (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/225716

zbMATH Keywords

asset-pricingminimum-entropy algorithm

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of mathematical programming (90C90) Microeconomic theory (price theory and economic markets) (91B24) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (4)

In memoriam: Marco Avellaneda (1955–2022) ⋮ CONVEX REGULARIZATION OF LOCAL VOLATILITY ESTIMATION ⋮ Maximum entropy estimates for risk-neutral probability measures with non-strictly-convex data ⋮ Probability interference in expected utility theory

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