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Determination of the probability distribution measures from market option prices using the method of maximum entropy in the mean
Gzyl, Henryk; Mayoral, Silvia - In: Applied mathematical finance 19 (2012) 3/4, pp. 299-312
Persistent link: https://www.econbiz.de/10009710972
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Quote inefficiency in options markets
Rodríguez Longarela, Iñaki; Mayoral, Silvia - In: Journal of banking & finance 55 (2015), pp. 23-36
Persistent link: https://www.econbiz.de/10011378081
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Discontinuous payoff option pricing by Mellin transform : a probabilistic approach
Gzyl, Henryk; Milev, M.; Tagliani, Aldo - In: Finance research letters 20 (2017), pp. 281-288
Persistent link: https://www.econbiz.de/10011806950
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Extracting pricing densities for weather derivatives using the maximum entropy method
Alexandridis, Antonios K.; Gzyl, Henryk; Horst, Enrique ter - In: Journal of the Operational Research Society 72 (2021) 11, pp. 2412-2428
Persistent link: https://www.econbiz.de/10012697323