Preposterior analysis for option pricing
Author:
Affiliation:
1. a Blackett Laboratory , Imperial College , London SW7 2BZ , UK
2. b Centre for Quantitative Finance , Imperial College , London SW7 2AZ , UK
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697680400008676
Reference24 articles.
1. Andreasen J Carr P 2002 Put call reversalWorking paper
2. Calibrating volatility surfaces via relative-entropy minimization
3. The Pricing of Options and Corporate Liabilities
4. Prices of State-Contingent Claims Implicit in Option Prices
5. Brody D C 1994 Comment on statistical distanceImperial College Internal Report
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2. A Family of Maximum Entropy Densities Matching Call Option Prices;Applied Mathematical Finance;2013-04-10
3. Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean;Applied Mathematical Finance;2012-09
4. Maximum entropy distributions inferred from option portfolios on an asset;Finance and Stochastics;2011-12-29
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