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Calibrating Volatility Surfaces Via Relative-Entropy Minimization · Study

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PreprintCalibrating Volatility Surfaces Via Relative-Entropy Minimization

Marco Avellaneda1997

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Preprintgreen1997

Calibrating Volatility Surfaces Via Relative-Entropy Minimization

Marco Avellaneda · Craig A. Friedman · Dominick J. Samperi

51 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1979Option pricing: A simplified approach 1971The Entropy Law and the Economic Process 2005Controlled Markov Processes and Viscosity Solutions 1978Prices of State-Contingent Claims Implicit in Option Prices 1994Implied Binomial Trees 1996Recovering Probability Distributions from Option Prices 1996The Maximum Entropy Distribution of an Asset Inferred from Option Prices 1978Prices for State-Contingent Claims: Some Estimates and Applications

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2008Stochastic Local Volatility 2006Expensive martingales

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1997Calibrating volatility surfaces via relative-entropy minimizationarticle · 7 shared references 1999Option-Implied Risk-Neutral Distributions and Implied Binomial Treesarticle · 6 shared references 2010The Econometrics of Option Pricingchapter · 6 shared references 1999Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Reviewpreprint · 6 shared references 2018Risk-Neutral Densities: A Reviewreview · 6 shared references 2004The Econometrics of Option Pricingpreprint · 6 shared references

Details

Year1997

Typepreprint

Published1997-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations51

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.648

openalex_workW2117101638

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