PRICING DERIVATIVE SECURITIES USING CROSS-ENTROPY: AN ECONOMIC ANALYSIS

DOI10.1142/S0219024904002335zbMath1119.91320OpenAlexW3124217767MaRDI QIDQ5696888

Nicole Branger

Publication date: 19 October 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/s0219024904002335

zbMATH Keywords

equivalent martingale measureoption pricingcross-entropystochastic discount factorimplied distributions

Mathematics Subject Classification ID

Related Items (4)

Entropy measure of credit risk in highly correlated markets ⋮ Applications of entropy in finance: a review ⋮ Information content of liquidity and volatility measures ⋮ INSIDER TRADING RULES AND PRICE FORMATION IN SECURITIES MARKETS: AN ENTROPY ANALYSIS OF STRATEGIC TRADING

Cites Work

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• A Theory of the Term Structure of Interest Rates
• THE ENTROPY THEORY OF BOND OPTION PRICING
• THE ENTROPIC MARKET HYPOTHESIS
• THE ENTROPY THEORY OF STOCK OPTION PRICING
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Changes of numéraire, changes of probability measure and option pricing
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Minimax and minimal distance martingale measures and their relationship to portfolio optimization

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