Option pricing with maximum entropy densities : the inclusion of higher-order moments
Year of publication: |
2022
|
---|---|
Authors: | Ardakani, Omid M. |
Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 42.2022, 10, p. 1821-1836
|
Subject: | option pricing | heavy-tailed density | maximum entropy | risk-neutral moments | Entropie | Entropy | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution | Momentenmethode | Method of moments | Volatilität | Volatility |
-
Modeling time-varying higher-order conditional moments : a survey
Soltyk, Sylvia J., (2023)
-
Modeling maximum entropy distributions for financial returns by moment combination and selection
Chen, Yi-ting, (2015)
-
The newsvendor under demand ambiguity : combining data with moment and tail information
Saghafian, Soroush, (2016)
- More ...
-
Ranking Forecasts by Stochastic Error Distance, Information and Reliability Measures
Ardakani, Omid M., (2018)
-
Ardakani, Omid M., (2018)
-
Re-evaluating the effectiveness of inflation targeting
Ardakani, Omid M., (2018)
- More ...