Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean

DOI10.1080/1350486X.2011.621354zbMath1372.91122MaRDI QIDQ5363202

Silvia Mayoral, Henryk Gzyl

Publication date: 5 October 2017

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

zbMATH Keywords

inverse problemsmaximum entropy in the meanrisk-neutral measure reconstruction

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistical aspects of information-theoretic topics (62B10)

This page was built for publication: Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean