BAYESIAN INFERENCE, PRIOR INFORMATION ON VOLATILITY, AND OPTION PRICING: A MAXIMUM ENTROPY APPROACH
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Publication:4675829
DOI10.1142/S0219024905002755zbMath1101.91051OpenAlexW1971834154MaRDI QIDQ4675829
Publication date: 6 May 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024905002755
Cites Work
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- An Application of Information Theory to Multivariate Analysis, II
- OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
- Calibrating volatility surfaces via relative-entropy minimization
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Prior Probabilities
- Temporary stabilization: A stochastic analysis
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