Calibration of the risk-neutral density function by maximization of a two-parameter entropy-Reference-Cited by-同舟云学术

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Calibration of the risk-neutral density function by maximization of a two-parameter entropy

Published:2019-01 Issue: Volume:513 Page:45-54
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Malhotra Gifty,Srivastava R.,Taneja H.C.

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference25 articles.

1. A mathematical theory of communication;Shannon;Bell Syst. Tech. J.,1948

2. Dart boards and asset prices introducing the entropy pricing theory;Gulko;Adv. Econom.,1997

3. The entropy theory of stock option pricing;Gulko;Int. J. Theor. Appl. Finance,1999

4. The entropy theory of bond option pricing;Gulko;Int. J. Theor. Appl. Finance,2002

5. On information and sufficiency;Kullback;Ann. Math. Stat.,1951

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