A family of maximum entropy densities matching call option prices
Year of publication: |
2013
|
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Authors: | Neri, Cassio ; Schneider, Lorenz |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 20.2013, 5/6, p. 548-577
|
Subject: | Entropy | information theory | I-divergence | asset distribution | option pricing | Entropie | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution | Derivat | Derivative |
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