Maximum entropy distributions inferred from option portfolios on an asset
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References listed on IDEAS
- Buchen, Peter W. & Kelly, Michael, 1996. "The Maximum Entropy Distribution of an Asset Inferred from Option Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(01), pages 143-159, March.
- Joshua Coval & Jakub Jurek & Erik Stafford, 2009. "The Economics of Structured Finance," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 3-25, Winter.
- Marco Frittelli, 2000. "The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 39-52.
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- Cassio Neri & Lorenz Schneider, 2012. "A Note on "A Family of Maximum Entropy Densities Matching Call Option Prices"," Papers 1212.4279, arXiv.org.
- repec:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9132-8 is not listed on IDEAS
- repec:eee:apmaco:v:258:y:2015:i:c:p:372-387 is not listed on IDEAS
- Sylvia Gottschalk, 2016. "Entropy and credit risk in highly correlated markets," Papers 1604.07042, arXiv.org.
- repec:spr:joptap:v:161:y:2014:i:1:d:10.1007_s10957-013-0349-x is not listed on IDEAS
- Gottschalk, Sylvia, 2017. "Entropy measure of credit risk in highly correlated markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 478(C), pages 11-19.
- Vilsmeier, Johannes, 2014. "Updating the option implied probability of default methodology," Discussion Papers 43/2014, Deutsche Bundesbank.
More about this item
KeywordsEntropy; Information theory; I-divergence; Asset distribution; Option pricing; Volatility smile; 91B24; 91B28; 91B70; 94A17; C16; C63; G13;
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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