Option pricing: Local cross-entropy - One way of addressing the inconsistency between exchange-traded options prices and the Black-Scholes model is to try to find alternative risk-neutral distributions that are more consistent. However, non-uniqueness means an additional criterion is required. The new criterion proposed here appears to perform well.
| Year of publication: |
2004
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| Authors: | Edelman, David |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 17.2004, 7, p. 73-76
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