论文信息 - Entropic calibration revisited

Entropic calibration revisited

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.

Bernhard K. Meister | Dorje C. Brody | Irene C. Constantinou | Ian R.C. Buckley

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