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~subject:"Maximum Entropy density"
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Maximum Entropy density
no-arbitrage condition
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Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg
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A note on conditional arbitrage-free maximum entropy densities for simulative option pricing
Herrmann, Klaus
-
2009
In this note we present a simple method to include the
no-arbitrage
condition
into the derivation of conditional …
Persistent link: https://www.econbiz.de/10010299804
Saved in:
2
A note on conditional arbitrage-free maximum entropy densities for simulative option pricing
Herrmann, Klaus
-
Wirtschafts- und Sozialwissenschaftliche Fakultät, …
-
2009
In this note we present a simple method to include the
no-arbitrage
condition
into the derivation of conditional …
Persistent link: https://www.econbiz.de/10008493545
Saved in:
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