Maximum entropy distributions inferred from option portfolios on an asset
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00780-011-0167-7.pdf
Reference20 articles.
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2. Borwein, J., Choksi, R., Maréchal, P.: Probability distributions of assets inferred from option prices via the principle of maximum entropy. SIAM J. Optim. 14, 464–478 (2003)
3. Breeden, D.T., Litzenberger, R.H.: Prices of state-contingent claims implicit in option prices. J. Bus. 51, 621–651 (1978)
4. Brody, D.C., Buckley, I.R.C., Meister, B.K.: Preposterior analysis for option pricing. Quant. Finance 4, 465–477 (2004)
5. Brody, D.C., Buckley, I.R.C., Constantinou, I., Meister, B.: Entropic calibration revisited. Phys. Lett. A 337, 257–264 (2005)
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