Entropic Dynamics of Exchange Rates and Options

Entropic Dynamics of Exchange Rates and Options

An Entropic Dynamics of exchange rates is laid down to model the dynamics of foreign exchange rates, FX, and European Options on FX. The main objective is to represent an alternative framework to model dynamics. Entropic inference is an inductive inference framework equipped with proper tools to han...

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Bibliographic Details
Main Authors: Mohammad Abedi, Daniel Bartolomeo
Format: Article
Language:English
Published: MDPI AG 2019-06-01
Series:Entropy
Subjects:
entropic inference
maximum entropy
entropic dynamics
Fokker–Planck equation
Garman–Kohlhagen model
Black–Scholes–Merton partial differential equation
Online Access:https://www.mdpi.com/1099-4300/21/6/586

Internet

https://www.mdpi.com/1099-4300/21/6/586

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