Pricing derivative securities using cross-entropy: An economic analysis

International Journal of Theoretical and Applied Finance

Volumn 7, Issue 1, 2004, Pages 63-81

  Branger, Nicole ^a  

^a GOETHE UNIVERSITY   (Germany)

Author keywords

Cross entropy; Equivalent martingale measure; Implied distributions; Option pricing; Stochastic discount factor

Indexed keywords

EID: 7244248637     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024904002335     Document Type: Article

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