A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy
Year of publication: |
2019
|
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Authors: | Vilar Zanón, José Luis ; Peraita‑Ezcurra, Olivia |
Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 42.2019, 1, p. 259-276
|
Subject: | Linear goal programming | Risk neutral probability | Equivalent martingale measure | Pricing | f-Divergence | Relative entropy | Entropie | Entropy | Optionspreistheorie | Option pricing theory | Wahrscheinlichkeitsrechnung | Probability theory | Mathematische Optimierung | Mathematical programming |
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