Autor:	Irene C. Constantinou, Dorje C. Brody, I. R. C. Buckley, Bernhard K. Meister
Rok vydání:	2005
Předmět:	Physics Theoretical physics Spot contract Calibration (statistics) General Physics and Astronomy Probability density function Statistical physics Greeks
Zdroj:	Physics Letters A. 337:257-264
ISSN:	0375-9601
DOI:	10.1016/j.physleta.2005.01.076
Popis:	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 time reversed economy, which allows us to obtain the spot price dependence of options and the relevant greeks.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::4c93eadc864d23dcf3d085efdd4334d7 https://doi.org/10.1016/j.physleta.2005.01.076 Zobrazit plný text záznamu Full Text from ScienceDirect