Bondi, Alessandro; Radojic̆ić, Dragana; Rheinländer, … - In: Risks 8 (2020) 4, pp. 1-27
Motivated by new financial markets where there is no canonical choice of a risk-neutral measure, we compared two different methods for pricing options: calibration with an entropic penalty term and valuation by the Esscher measure. The main aim of this paper is to contrast the outcomes of those...