| Autor: |
Xisheng Yu |
| Jazyk: |
angličtina |
| Rok vydání: |
2020 |
| Předmět: |
|
| Zdroj: |
Entropy, Vol 22, Iss 8, p 836 (2020) |
| Druh dokumentu: |
article |
| ISSN: |
1099-4300 |
| DOI: |
10.3390/e22080836 |
| Popis: |
This article constructs an entropy pricing framework by incorporating a set of informative risk-neutral moments (RNMs) extracted from the market-available options as constraints. Within the RNM-constrained entropic framework, a unique distribution close enough to the correct one is obtained, and its risk-neutrality is deeply verified based on simulations. Using this resultant risk-neutral distribution (RND), a sample of risk-neutral paths of the underlying price is generated and ultimately the European option’s prices are computed. The pricing performance and analysis in simulations demonstrate that this proposed valuation is comparable to the benchmarks and can produce fairly accurate prices for options. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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