This paper investigates the maximum entropy method for estimating the option implied volatility, skewness and kurtosis …. The maximum entropy method allows for non-parametric estimation of the risk neutral distribution and construction of … confidence intervals around the implied volatility. Numerical study shows that the maximum entropy method outperforms the …

% (and can be as high as 40%) of total currency risk, as measured by the entropy of exchange rate changes, over horizons of …