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20092023
most citedEuclidean Affine Functions and Applications to Calendar Algorithms

3 citations · 6 across the 5 of their papers we have counts for

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Showing 2012 · q-fin.PRShow all

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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…