THE ENTROPY THEORY OF BOND OPTION PRICING
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Publication:3022049
DOI10.1142/S021902490200147XzbMath1107.91337MaRDI QIDQ3022049
Publication date: 22 June 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Related Items (14)
Maxentropic construction of risk neutral measures: discrete market models ⋮ Entropy measure of credit risk in highly correlated markets ⋮ Applications of entropy in finance: a review ⋮ Highs and lows: Some properties of the extremes of a diffusion and applications in finance ⋮ Calibrating volatility surfaces via relative-entropy minimization ⋮ Calibration of the risk-neutral density function by maximization of a two-parameter entropy ⋮ Information content of liquidity and volatility measures ⋮ A Family of Maximum Entropy Densities Matching Call Option Prices ⋮ PRICING DERIVATIVE SECURITIES USING CROSS-ENTROPY: AN ECONOMIC ANALYSIS ⋮ Maximum entropy distributions inferred from option portfolios on an asset ⋮ A test of the beta model on Eurodollar futures options ⋮ A copula entropy approach to correlation measurement at the country level ⋮ INFORMATION, MODEL PERFORMANCE, PRICING AND TRADING MEASURES IN INCOMPLETE MARKETS ⋮ Robust risk measurement and model risk
Cites Work
- The Pricing of Options and Corporate Liabilities
- Martingales and arbitrage in multiperiod securities markets
- On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved
- A Theory of the Term Structure of Interest Rates
- THE ENTROPIC MARKET HYPOTHESIS
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Options and Efficiency
- Calibrating volatility surfaces via relative-entropy minimization
- An equilibrium characterization of the term structure
- Pricing Interest-Rate-Derivative Securities
- Option pricing: A simplified approach
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