We obtain the maximum entropy distribution for an asset from call and digital option prices. A rigorous mathematical …

In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options … maximising Shannon's entropy subject to a set of moment constraints, which in turn yields the value-at-risk and expected … shortfall of the hedging error. The significance of this approach lies in the fact that the maximum entropy estimator allows us …

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 …