3 citations · 6 across the 5 of their papers we have counts for
Showing q-fin.PRShow all
3 papers · 1 filter
q-fin.PR2012
The Impact of the Prior Density on a Minimum Relative Entropy Density: A Case Study with SPX Option Data
C. Neri, L. Schneider
We study the problem of finding probability densities that match given European call option prices. To allow prior information about such a density to be taken into account, we gen…
q-fin.PR2011
A Family of Maximum Entropy Densities Matching Call Option Prices
Cassio Neri, Lorenz Schneider
We investigate the position of the Buchen-Kelly density in a family of entropy maximising densities which all match European call option prices for a given maturity observed in the…
q-fin.PR2009
Maximum Entropy Distributions Inferred from Option Portfolios on an Asset
C. Neri, L. Schneider
We obtain the maximum entropy distribution for an asset from call and digital option prices. A rigorous mathematical proof of its existence and exponential form is given, which can…