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ArticleOption price calibration from Rényi entropy

Dorje C. Brody2007

Article2007

Option price calibration from Rényi entropy

Dorje C. Brody · Ian Buckley · Irene C. Constantinou

38 citations·0/0 files stored·Physics Letters A

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Stochastic processes and financial applications Complex Systems and Time Series Analysis Statistical Mechanics and Entropy

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References

2003A theory of power-law distributions in financial market fluctuations 1998Implied Volatility Functions: Empirical Tests 1996Recovering Probability Distributions from Option Prices 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices 1996A Simple Nonparametric Approach to Derivative Security Valuation 1996The Maximum Entropy Distribution of an Asset Inferred from Option Prices 1999Option-Implied Risk-Neutral Distributions and Implied Binomial Trees 2006THE RANGE OF TRADED OPTION PRICES

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2009Economic uncertainty and econophysics 2020Stock returns prediction using kernel adaptive filtering within a stock market interdependence approach 2018Does Income Diversification Benefit the Sustainable Development of Chinese Listed Banks? Analysis Based on Entropy and the Herfindahl–Hirschman Index

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2004Option-Implied Risk-Neutral Distributions and Risk Aversionbook · 6 shared references 2003Estimation of risk-neutral densities using positive convolution approximationarticle · 6 shared references 2013Forecasting with Option-Implied Informationchapter · 6 shared references 2018Risk-Neutral Densities: A Reviewreview · 6 shared references 2007Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativityarticle · 6 shared references 1999Option-Implied Risk-Neutral Distributions and Implied Binomial Treesarticle · 5 shared references

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Year2007

Typearticle

Published2007-03-01

VenuePhysics Letters A

ISSN-L0375-9601

Languageen

Citations38

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.physleta.2007.01.088

openalex_workW2065041579

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