A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy
José L. Vilar‑Zanón, Olivia Peraita‑Ezcurra
| Year of publication: |
2019
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|---|---|
| Authors: | Vilar Zanón, José Luis ; Peraita‑Ezcurra, Olivia |
| Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 42.2019, 1, p. 259-276
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| Subject: | Linear goal programming | Risk neutral probability | Equivalent martingale measure | Pricing | f-Divergence | Relative entropy | Entropie | Entropy | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming | Wahrscheinlichkeitsrechnung | Probability theory | Risiko | Risk | Martingal | Martingale |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-019-00236-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012065216