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

by combining the entropy approach, dynamic copulas and rank correlations. Our density estimates exhibit information about …

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 …

options using the Monte Carlo method and the measurement of the entropy of information for the price of the underlying asset … is made using the Feynman-Kač theorem. The distribution we use is lognormal. Also, in the paper is measured the entropy … of information of Shannon type. The measurement of the entropy of information of the stock market price of the underlying …