This paper describes the application of the Principle of Maximum Entropy to the estimation of the distribution of an underlying asset from a set of option prices. The resulting distribution is least committal with respect to unknown or missing information and is hence the least prejudiced. The...

This paper describes the application of the Principle of Maximum Entropy to the estimation of the distribution of an underlying asset from a set of option prices. The resulting distribution is least committal with respect to unknown or missing information and is, hence, the least prejudiced. The...

In this paper we consider the problem of Kelly betting on simultaneous games, and the relative performance of betting strategies that use multibets compared to those that do not. We develop a simulation model based on the Dirichlet distribution to test the performance of three Kelly betting...