Simple entropic derivation of a generalized black-scholes option pricing model

Entropy

Volumn 2, Issue 2, 2000, Pages 70-77

  Stutzer, Michael J ^a  

^a UNIVERSITY OF IOWA   (United States)

Author keywords

Asset Pricing; Black Scholes; Entropic Martingale Measure; Option Pricing

Indexed keywords

APPROXIMATION THEORY; INTEGRAL EQUATIONS; INVERSE PROBLEMS; MARKETING; MATHEMATICAL MODELS; RANDOM PROCESSES;

ASSET PRICING; BLACK-SCHOLES; ENTROPIC MARTINGALE MEASURE; OPTION PRICING;

FINANCIAL DATA PROCESSING;

EID: 0008623292     PISSN: 10994300     EISSN: None     Source Type: Journal    
DOI: 10.3390/e2020070     Document Type: Article

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