Matches in SemOpenAlex for { <https://semopenalex.org/work/W149675061> ?p ?o ?g. }
Showing items 1 to 63 of
63
with 100 items per page.
- W149675061 abstract "Option price contains information on the distribution of the underlying asset. Under insufficient condition we employ the maximum entropy principle to estimate the probability density of the asset price. The problem is equivalent to finding the Lagrange multipliers of a linear functional defined by entropy and payoff functions. Buchen and Kelly proved that the maximum entropy distribution recovered from observed option prices is quite similar with the original asset distribution. In this article we apply a similar method to recover the probability density function of an asset from given option prices for binary options and European options." @default.
- W149675061 created "2016-06-24" @default.
- W149675061 creator A5007289801 @default.
- W149675061 creator A5070400970 @default.
- W149675061 date "2008-01-01" @default.
- W149675061 modified "2023-10-04" @default.
- W149675061 title "Estimation of the Asset Price Distribution Using the Maximum Entropy Principle" @default.
- W149675061 cites W1602773783 @default.
- W149675061 cites W1967981939 @default.
- W149675061 cites W1979929804 @default.
- W149675061 cites W2004793002 @default.
- W149675061 cites W2005594873 @default.
- W149675061 cites W2015769927 @default.
- W149675061 cites W2016933073 @default.
- W149675061 cites W2020058452 @default.
- W149675061 cites W2065041579 @default.
- W149675061 cites W2088686399 @default.
- W149675061 cites W2123072037 @default.
- W149675061 cites W2137275615 @default.
- W149675061 cites W2152672118 @default.
- W149675061 cites W658870668 @default.
- W149675061 doi "https://doi.org/10.2139/ssrn.1158848" @default.
- W149675061 hasPublicationYear "2008" @default.
- W149675061 type Work @default.
- W149675061 sameAs 149675061 @default.
- W149675061 citedByCount "1" @default.
- W149675061 countsByYear W1496750612016 @default.
- W149675061 crossrefType "journal-article" @default.
- W149675061 hasAuthorship W149675061A5007289801 @default.
- W149675061 hasAuthorship W149675061A5070400970 @default.
- W149675061 hasConcept C105795698 @default.
- W149675061 hasConcept C149782125 @default.
- W149675061 hasConcept C162324750 @default.
- W149675061 hasConcept C33923547 @default.
- W149675061 hasConcept C38652104 @default.
- W149675061 hasConcept C41008148 @default.
- W149675061 hasConcept C76178495 @default.
- W149675061 hasConcept C9679016 @default.
- W149675061 hasConceptScore W149675061C105795698 @default.
- W149675061 hasConceptScore W149675061C149782125 @default.
- W149675061 hasConceptScore W149675061C162324750 @default.
- W149675061 hasConceptScore W149675061C33923547 @default.
- W149675061 hasConceptScore W149675061C38652104 @default.
- W149675061 hasConceptScore W149675061C41008148 @default.
- W149675061 hasConceptScore W149675061C76178495 @default.
- W149675061 hasConceptScore W149675061C9679016 @default.
- W149675061 hasLocation W1496750611 @default.
- W149675061 hasOpenAccess W149675061 @default.
- W149675061 hasPrimaryLocation W1496750611 @default.
- W149675061 hasRelatedWork W2023446719 @default.
- W149675061 hasRelatedWork W2030617584 @default.
- W149675061 hasRelatedWork W2056210026 @default.
- W149675061 hasRelatedWork W2066824604 @default.
- W149675061 hasRelatedWork W2073994582 @default.
- W149675061 hasRelatedWork W2085284844 @default.
- W149675061 hasRelatedWork W2119158312 @default.
- W149675061 hasRelatedWork W2552050053 @default.
- W149675061 hasRelatedWork W3124080152 @default.
- W149675061 hasRelatedWork W2142213187 @default.
- W149675061 isParatext "false" @default.
- W149675061 isRetracted "false" @default.
- W149675061 magId "149675061" @default.
- W149675061 workType "article" @default.