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• W1497457308 abstract "In this paper we propose to use the principle of absence of arbitrage opportunities in its entropic interpretation to obtain the distribution of stock price fluctuations by maximizing its information entropy. We show that this approach leads to a physical description of the underlying dynamics as a random walk characterized by a stochastic diffusion coefficient and constrained to a given value of the expected volatility, in this way taking into account the information provided by the existence of an option market. The model is validated by a comprehensive comparison with observed distributions of both price return and diffusion coefficient. Expected volatility is the only parameter in the model and can be obtained by analysing option prices. We give an analytic formulation of the probability density function for price returns which can be used to extract expected volatility from stock option data." @default.
• W1497457308 created "2016-06-24" @default.
• W1497457308 creator A5072874176 @default.
• W1497457308 date "2013-04-01" @default.
• W1497457308 modified "2023-10-01" @default.
• W1497457308 title "Maximum entropy distribution of stock price fluctuations" @default.
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• W1497457308 doi "https://doi.org/10.1016/j.physa.2012.11.048" @default.
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