TY  - JOUR
AU  - Vilar Zanón, José Luis
AU  - Peraita Ezcurra, Olivia
PY  - 2019
DO  - 10.1007/s10203-019-00236-z
SN  - 1593-8883
UR  - https://hdl.handle.net/20.500.14352/92570
T2  - Decisions in Economics and Finance
AB  - We develop a new methodology to retrieve risk neutral probabilities (equivalent martingale measure) with maximum entropy from quoted option prices. We assume the no arbitrage hypothesis and model the efficient market hypothesis by means of a maximum...
LA  - eng
M2  - 259
PB  - Springer
KW  - Linear goal programming
KW  - Risk neutral probability
KW  - Equivalent martingale measure
KW  - Pricing
KW  - f-Divergence
KW  - Relative entropy
TI  - A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy
TY  - journal article
VL  - 42
ER  -