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In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second,...
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densities using the principle of maximum entropy. For the case of identically and independently distributed returns, we easily … derivation of option prices. -- Maximum Entropy density ; No Arbitrage Condition …
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