Entropy Concepts Applied to Option Pricing

作者: Radu Tunaru

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摘要: Uncertainty is one of the most important concept in financial mathematics applications. In this paper we review some aspects related to application entropy-related concepts option pricing. The Kullback-Leibler information divergence and informational energy introduced by Onicescu are main tools investigated paper. We highlight a necessary condition that must be verified when obtaining probability distribution minimising divergence. Deriving optimising has pitfalls discussed

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