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most citedBayesian Entropic Inverse Theory Approach to Implied Option Pricing with Noisy Data

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cond-mat.stat-mech2002★ 1 cited

Bayesian Entropic Inverse Theory Approach to Implied Option Pricing with Noisy Data

Igor Halperin

A popular approach to nonparametric option pricing is the Minimum Cross Entropy (MCE) method based on minimization of the relative Kullback-Leibler entropy of the price density dis…