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Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU) >
Lehrstuhl für Statistik und Ökonometrie, Universität Erlangen-Nürnberg >
Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg >
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http://hdl.handle.net/10419/29606
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Herrmann, Klaus | | en_US |
| dc.date.accessioned | | 2009-12-02 | | en_US |
| dc.date.accessioned | | 2010-01-13T14:06:38Z | | - |
| dc.date.available | | 2010-01-13T14:06:38Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/29606 | | - |
| dc.description.abstract | | In this note we present a simple method to include the no-arbitrage condition into the derivation of conditional densities using the principle of maximum entropy. For the case of identically and independently distributed returns, we easily derive that the whole process estimated that way is arbitrage free. Such a process may be directly used for simulative derivation of option prices. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und empirische Wirtschaftsforschung Nürnberg | | en_US |
| dc.relation.ispartofseries | | Diskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 85/2009 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Maximum Entropy density | | en_US |
| dc.subject.keyword | | No Arbitrage Condition | | en_US |
| dc.subject.stw | | Optionspreistheorie | | en_US |
| dc.subject.stw | | Arbitrage Pricing | | en_US |
| dc.subject.stw | | Entropie | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | A note on conditional arbitrage-free maximum entropy densities for simulative option pricing | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 614060842 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg
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