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Entropy, Volume 2, Issue 2 (June 2000), Pages 70-80

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Open AccessArticle Simple Entropic Derivation of a Generalized Black-Scholes Option Pricing Model
Entropy 2000, 2(2), 70-77; doi:10.3390/e2020070
Received: 19 January 2000 / Accepted: 24 March 2000 / Published: 4 April 2000
Cited by 13 | PDF Full-text (215 KB)
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. [...] Read more.
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. Full article

Other

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Open AccessMeeting Report International Symposium on Entropy at the Max-Planck-Institut für Physik komplexer Systeme (Dresden, Germany), June 25-28, 2000
Entropy 2000, 2(2), 78-79; doi:10.3390/e2020078
Received: 29 June 2000 / Published: 30 June 2000
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Open AccessNew Book Received Intellectual Impostures. By Alan Sokal and Jean Bricmont Mathematical Foundations of Quantum Mechanics. By John von Neumann
Entropy 2000, 2(2), 80; doi:10.3390/e2020080
Published: 30 June 2000
PDF Full-text (6 KB) | HTML Full-text | XML Full-text

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