Entropic calibration revisited

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• 作者：Brody ; Dorje C. ; Buckley ; Ian R.C. ; Constantinou ; Irene C. ; Meister ; Bernhard K.
• 刊名：Physics Letters A
• 出版年：2005
• 出版时间：April 11, 2005
• 年：2005
• 卷：337
• 期：4-6
• 页码：257-264
• 全文大小：173 K

文摘

The entropic calibration of the risk-neutral density function is effective in recovering the strike dependence of options, but encounters difficulties in determining the relevant greeks. By use of put-call reversal we apply the entropic method to the time reversed economy, which allows us to obtain the spot price dependence of options and the relevant greeks.