We investigate the position of the Buchen-Kelly density in the family of entropy maximising densities from Neri & Schneider (2012) which all match European call option prices for a given maturity observed in the market. Using the Legendre transform which links the entropy function and the...

We obtain the maximum entropy distribution for an asset from call and digital option prices. A rigorous mathematical proof of its existence and exponential form is given, which can also be applied to legitimise a formal derivation by Buchen and Kelly (JFQA 31:143-159, 1996). We give a simple and...

Our first aim in this paper is to introduce a futures-based model able of capturing the main features displayed by Crude Oil futures and options contracts, such as the Samuelson volatility effect and the volatility smile. We calculate the joint characteristic function of two futures contracts in...

In this paper, we propose a methodology for measuring information flows underpinning option price movements, and for analyzing the distribution of these flows. We develop a framework in which flows of information can be measured in terms of relative entropy between risk-neutral distributions...