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Simple Entropic Derivation of a Generalized Black-Scholes Option Pricing Model

Dept. of Finance, 108 PBAB, Univ. of Iowa, Iowa City, IA., USA
Entropy 2000, 2(2), 70-77; https://doi.org/10.3390/e2020070
Received: 19 January 2000 / Accepted: 24 March 2000 / Published: 4 April 2000
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. View Full-Text
Keywords: option pricing; entropic martingale measure; Black-Scholes; asset pricing option pricing; entropic martingale measure; Black-Scholes; asset pricing
MDPI and ACS Style

Stutzer, M.J. Simple Entropic Derivation of a Generalized Black-Scholes Option Pricing Model. Entropy 2000, 2, 70-77. https://doi.org/10.3390/e2020070

AMA Style

Stutzer MJ. Simple Entropic Derivation of a Generalized Black-Scholes Option Pricing Model. Entropy. 2000; 2(2):70-77. https://doi.org/10.3390/e2020070

Chicago/Turabian Style

Stutzer, Michael J. 2000. "Simple Entropic Derivation of a Generalized Black-Scholes Option Pricing Model" Entropy 2, no. 2: 70-77. https://doi.org/10.3390/e2020070

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