Simple Entropic Derivation of a Generalized Black-Scholes Option Pricing Model Journal Article uri icon

Overview

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.

publication date

  • April 4, 2000

has restriction

  • gold

Date in CU Experts

  • June 25, 2014 3:16 AM

Full Author List

  • Stutzer MJ

author count

  • 1

Other Profiles

Electronic International Standard Serial Number (EISSN)

  • 1099-4300

Additional Document Info

start page

  • 70

end page

  • 77

volume

  • 2

issue

  • 2