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Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
Roux, Alet; Xu, Zhikang - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-45
Persistent link: https://www.econbiz.de/10013371223
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Pricing European options and risk measurement under exponential Lévy models : a practical guide
Salhi, Khaled - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-36
Persistent link: https://www.econbiz.de/10011777826
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Pricing via utility maximization and entropy
Rouge, Richard; El Karoui, Nicole - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 259-276
Persistent link: https://www.econbiz.de/10002177670
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Maximum Entropy Distributions Inferred from Option Portfolios on an Asset
Neri, Cassio - 2014
We obtain the maximum entropy distribution for an asset from call and digital option prices. A rigorous mathematical …
Persistent link: https://www.econbiz.de/10013045432
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Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model
Fard, Farzad Alavi; Doko Tchatoka, Firmin; … - In: Journal of risk and financial management : JRFM 14 (2021) 3/97, pp. 1-19
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 …
Persistent link: https://www.econbiz.de/10012484861
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New entropy restrictions and the quest for better-specified asset-pricing models
Bakshi, Gurdip S.; Chabi-Yo, Fousseni - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 6, pp. 2517-2541
Persistent link: https://www.econbiz.de/10012165919
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Model risk qualification based on relative entropy
Arrieta, Daniel - In: The journal of risk model validation 16 (2022) 3, pp. 113-131
Persistent link: https://www.econbiz.de/10014540603
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A model-free approach to multivariate option pricing
Bernard, Carole; Bondarenko, Oleg; Vanduffel, Steven - In: Review of derivatives research 24 (2021) 2, pp. 135-155
Persistent link: https://www.econbiz.de/10012549100
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Index option returns and generalized entropy bounds
Liu, Yan - In: Journal of financial economics 139 (2021) 3, pp. 1015-1036
Persistent link: https://www.econbiz.de/10012693881
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Twisted probabilities, uncertainty, and prices
Hansen, Lars Peter; Szőke, Bálint; Han, Lloyd S.; … - In: Journal of econometrics 216 (2020) 1, pp. 151-174
Persistent link: https://www.econbiz.de/10012439662