Maximum entropy distributions inferred from option portfolios on an asset
Year of publication: |
2012
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Authors: | Neri, Cassio ; Schneider, Lorenz |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 16.2012, 2, p. 293-318
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Subject: | Entropie | Entropy | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory |
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