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A note on conditional arbitrage-free maximum entropy densities for simulative option pricing
Herrmann, Klaus - 2009
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 …
Persistent link: https://www.econbiz.de/10003903704
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Updating the option implied probability of default methodology
Vilsmeier, Johannes - 2011
. -- option implied probability of default ; risk neutral density ; cross entropy …
Persistent link: https://www.econbiz.de/10009313603
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Updating the option implied probability of default methodology
Vilsmeier, Johannes - 2011
Persistent link: https://www.econbiz.de/10009411340
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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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The maximum entropy distribution of an asset inferred from option prices
Buchen, Peter W. - In: Journal of financial and quantitative analysis : JFQA 31 (1996) 1, pp. 143-159
Persistent link: https://www.econbiz.de/10001208197
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The entropy theory of stock option pricing
Gulko, Les - In: International journal of theoretical and applied finance 2 (1999) 3, pp. 331-355
Persistent link: https://www.econbiz.de/10001437414
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Maximum entropy and derivative securities
Hawkins, Raymond J. - 1997
Persistent link: https://www.econbiz.de/10001336460
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Dart boards and asset prices : introducing the entropy pricing theory
Gulko, Les - 1997
Persistent link: https://www.econbiz.de/10001336461
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Building a consistent pricing model from observed option prices
Laurent, Jean-Paul; Leisen, Dietmar - 1998
Persistent link: https://www.econbiz.de/10001355935
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Building a consistent pricing model from observed option prices
Laurent, Jean-Paul; Leisen, Dietmar - 1999
Persistent link: https://www.econbiz.de/10001380392