Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Irene C. Constantinou"'
Publikováno v:
International Journal of Theoretical and Applied Finance. 10:1323-1337
Every maturity-dependent derivative contract entails a term structure. For example, when the value of the portfolio consisting of a long position in a stock and a short position in a vanilla option is expressed in units of its instantaneous exercise
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c1e6762c73abedefdfe58ee167f3e81f
https://doi.org/10.1142/s0219024907004676
https://doi.org/10.1142/s0219024907004676
Publikováno v:
Physics Letters A. 366:298-307
The calibration of the risk-neutral density function for the future asset price, based on the maximisation of the entropy measure of Renyi, is proposed. Whilst the conventional approach based on the use of logarithmic entropy measure fails to produce
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4275b06108da28f42789592035eb00d5
https://doi.org/10.1016/j.physleta.2007.01.088
https://doi.org/10.1016/j.physleta.2007.01.088
Publikováno v:
Physics Letters A. 337:257-264
The entropic calibration of the risk-neutral density function is effective in recovering the strike dependence of options, but encounters difficulties in determining the relevant greeks. By use of put-call reversal we apply the entropic method to the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4c93eadc864d23dcf3d085efdd4334d7
https://doi.org/10.1016/j.physleta.2005.01.076
https://doi.org/10.1016/j.physleta.2005.01.076
A closed-form solution to the energy-based stochastic Schrodinger equation with a time-dependent coupling is obtained. The solution is algebraic in character, and is expressed directly in terms of independent random data. The data consist of (i) a ra
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::67f27c3dd65474662cb42b11e64bf325
http://arxiv.org/abs/quant-ph/0511046
http://arxiv.org/abs/quant-ph/0511046
