Option price calibration from Rényi entropy

DOI10.1016/j.physleta.2007.01.088zbMath1203.91284OpenAlexW2065041579WikidataQ62272459 ScholiaQ62272459MaRDI QIDQ620907

Irene C. Constantinou, Dorje C. Brody, Ian R. C. Buckley

Publication date: 20 January 2011

Published in: Physics Letters. A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physleta.2007.01.088

zbMATH Keywords

calibrationRényi entropyHavrda-charvát entropyrisk-neutral evaluation

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Applications of entropy in finance: a review, Calibration of the risk-neutral density function by maximization of a two-parameter entropy, A maximum (non-extensive) entropy approach to equity options bid-ask spread, Rényi entropies, \(L_q\) norms and linearization of powers of hypergeometric orthogonal polynomials by means of multivariate special functions, Rényi entropies for multidimensional hydrogenic systems in position and momentum spaces, Maximum entropy distributions inferred from option portfolios on an asset

Cites Work

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• Simple entropic derivation of a generalized Black-Scholes option pricing model
• Entropic calibration revisited
• THE RANGE OF TRADED OPTION PRICES
• THE ENTROPY THEORY OF STOCK OPTION PRICING
• Preposterior analysis for option pricing