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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

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

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

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