Option pricing with maximum entropy densities : the inclusion of higher-order moments
Omid M. Ardakani
| Year of publication: |
2022
|
|---|---|
| Authors: | Ardakani, Omid M. |
| Subject: | option pricing | heavy-tailed density | maximum entropy | risk-neutral moments | Entropie | Entropy | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22361 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013465823