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Calibrating Volatility Surfaces Via Relative-Entropy Minimization
12 references·2 citing·44 second hop
Calibrating Volatility Surfaces Via Relative-Entropy Minimization (1997)Calibrating Volatility Surfaces Via Relat…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…THE ENTROPY THEORY OF BOND OPTION PRICING (2002)THE ENTROPY THEORY OF BOND OP…THE ENTROPY THEORY OF STOCK OPTION PRICING (1999)THE ENTROPY THEORY OF STOCK O…The Maximum Entropy Distribution of an Asset Inferred from Option Prices (1996)The Maximum Entropy Distribut…Recovering Probability Distributions from Option Prices (1996)Recovering Probability Distri…Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model (1996)Managing the volatility risk …A Bayesian approach to diagnosis of asset pricing models (1995)A Bayesian approach to diagno…Implied Binomial Trees (1994)Implied Binomial TreesOption pricing: A simplified approach (1979)Option pricing: A simplified …Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Prices for State-Contingent Claims: Some Estimates and Applications (1978)Prices for State-Contingent C…The Entropy Law and the Economic Process (1971)The Entropy Law and the Econo…Stochastic Local Volatility (2008)Stochastic Local VolatilityExpensive martingales (2006)Expensive martingalesThe Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market (1988)Option Pricing and the Martingale Restriction (1995)Option-Implied Risk-Neutral Distributions and Implied Binomial Trees (1999)Theory of Value (1959)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)Approximate option valuation for arbitrary stochastic processes (1982)Pricing and hedging in incomplete markets (2001)Entropy densities with an application to autoregressive conditional skewness and kurtosis (2002)Testing the stability of implied probability density functions (2002)Martingales and arbitrage in multiperiod securities markets (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)Weighted Monte Carlo: A New Technique for Calibrating Asset-Pricing Models (2000)A multiperiod binomial model for pricing options in a vague world (2003)Systematic stress tests with entropic plausibility constraints (2012)The valuation of options for alternative stochastic processes (1976)Post-'87 crash fears in the S&P 500 futures option market (2000)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)An Engine, Not a Camera (2006)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Economics and Information Theory (1969)Asset Prices in an Exchange Economy (1978)The equity premium: A puzzle (1985)Econometric specification of stochastic discount factor models (2006)Nobel Lecture: Uncertainty Outside and Inside Economic Models (2014)What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models (2016)Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Transaction Cost Economics: How It Works; Where It is Headed (1998)Marx's Theory of Metabolic Rift: Classical Foundations for Environmental Sociology (1999)Does higher economic and financial development lead to environmental degradation: Evidence from BRIC countries (2008)
this work references cited by second hop

References

  • 1979Option pricing: A simplified approach6,103 cited
  • 1971The Entropy Law and the Economic Process4,952 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1996Recovering Probability Distributions from Option Prices1,086 cited
  • 1996The Maximum Entropy Distribution of an Asset Inferred from Option Prices331 cited
  • 1978Prices for State-Contingent Claims: Some Estimates and Applications244 cited
  • 1996Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model146 cited
  • 1995A Bayesian approach to diagnosis of asset pricing models121 cited
  • 2002THE ENTROPY THEORY OF BOND OPTION PRICING65 cited
  • 1999THE ENTROPY THEORY OF STOCK OPTION PRICING58 cited

Cited by

  • 2008Stochastic Local Volatility47 cited
  • 2006Expensive martingales28 cited

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