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- W2012789961 abstract "The entropic calibration of the risk-neutral density function is effective in recovering the strike dependence of options, but encounters difficulties in determining the relevant greeks. By use of put-call reversal we apply the entropic method to the time reversed economy, which allows us to obtain the spot price dependence of options and the relevant greeks." @default.
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- W2012789961 date "2005-04-01" @default.
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- W2012789961 title "Entropic calibration revisited" @default.
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- W2012789961 doi "https://doi.org/10.1016/j.physleta.2005.01.076" @default.
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