Simple Entropic Derivation of a Generalized Black-Scholes Option Pricing Model
Abstract: A straightforward derivation of the celebrated Black-Scholes Option Pricing model is obtained by solution of a simple constrained minimization of relative entropy. The derivation leads to a natural generalization of it, which is consistent with some evidence from stock index option markets...
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| Format: | Article |
| Language: | English |
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MDPI AG
2000-04-01
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| Series: | Entropy |
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| Online Access: | http://www.mdpi.com/1099-4300/2/2/70/ |