Simple Entropic Derivation of a Generalized Black-Scholes Option Pricing Model
نویسندگان
چکیده
منابع مشابه
Simple Entropic Derivation of a Generalized Black-Scholes Option Pricing Model
A straightforward derivation of the celebrated Black-Scholes Option Pricing model is obtained by solution of a simple constrained minimization of relative entropy. The derivation leads to a natural generalization of it, which is consistent with some evidence from stock index option markets.
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ژورنال
عنوان ژورنال: Entropy
سال: 2000
ISSN: 1099-4300
DOI: 10.3390/e2020070