We study the problem of finding probability densities that match given European call option prices. To allow prior information about such a density to be taken into account, we generalise the algorithm presented in Neri & Schneider (Applied Mathematical Finance, 2013) to find the maximum entropy...

This paper deals with the problem of modelling the volatility of futures prices in agricultural markets. We develop a multi-factor model in which the stochastic volatility dynamics incorporate a seasonal component. In addition, a maturity dependent damping term accounts for the Samuelson effect....