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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...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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MDPI
2020
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7517436/ https://www.ncbi.nlm.nih.gov/pubmed/33286607 http://dx.doi.org/10.3390/e22080836 |