Risk-Neutrality of RND and Option Pricing within an Entropy Framework
This article constructs an entropy pricing framework by incorporating a set of informative risk-neutral moments (RNMs) extracted from the market-available options as constraints. Within the RNM-constrained entropic framework, a unique distribution close enough to the correct one is obtained, and its...
| 出版年: | Entropy |
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| 第一著者: | |
| フォーマット: | 論文 |
| 言語: | 英語 |
| 出版事項: |
MDPI AG
2020-07-01
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| 主題: | |
| オンライン･アクセス: | https://www.mdpi.com/1099-4300/22/8/836 |