A Family of Maximum Entropy Densities Matching Call Option Prices

DOI10.1080/1350486X.2013.780769zbMath1396.91754arXiv1102.0224MaRDI QIDQ4585001

Lorenz Schneider, Cassio Neri

Publication date: 5 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.0224

zbMATH Keywords

entropyoption pricinginformation theory\(I\)-divergenceasset distribution

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Measures of information, entropy (94A17)

Related Items

Calibration of the risk-neutral density function by maximization of a two-parameter entropy

Cites Work

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