Simple entropic derivation of a generalized Black-Scholes option pricing model
type: Item
instance of: scholarly article
title: Simple entropic derivation of a generalized Black-Scholes option pricing model
zbMATH Open document ID: 1009.91039
author: Michael J. Stutzer
published in: Entropy
publication date: 2002-09-10T00:00:00Z
full work available at URL: list00.htm
review text: Summary: A straightforward derivation of the celebrated Black-Scholes option pricing model is obtained by solution of a simple constrained minimization of relative entropy. The derivation leads to a natural generalization of it, which is consistent with some evidence from stock index option markets.
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 1796629
zbMATH Keywords: option pricing
zbMATH Keywords: entropic martingale measure
zbMATH Keywords: Black-Scholes
zbMATH Keywords: asset pricing
MaRDI profile type: Publication
OpenAlex ID: W2165715030
DOI: 10.3390/E2020070
description: scientific article; zbMATH DE number 1796629