Bondi, Alessandro; Radojic̆ić, Dragana; Rheinländer, … - In: Risks : open access journal 8 (2020) 4/108, 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...
