Maxentropic construction of risk neutral measures: discrete market models

DOI10.1080/13504860110061699zbMath1020.91049OpenAlexW2043964253MaRDI QIDQ4784302

Henryk Gzyl

Publication date: 9 October 2003

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

Full work available at URL: https://doi.org/10.1080/13504860110061699

zbMATH Keywords

maximum entropy principlediscrete market modelsrisk-neutral measures

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Statistical methods; economic indices and measures (91B82)

Cites Work

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• MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
• Calibrating volatility surfaces via relative-entropy minimization
• The analysis of finite security markets using martingales
• Option pricing: A simplified approach

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