Maximum entropy distributions inferred from option portfolios on an asset
| Year of publication: |
2012
|
|---|---|
| Authors: | Neri, Cassio ; Schneider, Lorenz |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 16.2012, 2, p. 293-318
|
| Publisher: |
Springer |
| Subject: | Entropy | Information theory | I-divergence | Asset distribution | Option pricing | Volatility smile |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10010847052