Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/29606 
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dc.contributor.authorHerrmann, Klausen
dc.date.accessioned2009-12-02-
dc.date.accessioned2010-01-13T14:06:38Z-
dc.date.available2010-01-13T14:06:38Z-
dc.date.issued2009-
dc.identifier.urihttp://hdl.handle.net/10419/29606-
dc.description.abstractIn 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
dc.language.isoengen
dc.publisher|aFriedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie |cNürnbergen
dc.relation.ispartofseries|aDiskussionspapier |x85/2009en
dc.subject.ddc330en
dc.subject.keywordMaximum Entropy densityen
dc.subject.keywordNo Arbitrage Conditionen
dc.subject.stwOptionspreistheorieen
dc.subject.stwArbitrage Pricingen
dc.subject.stwEntropieen
dc.subject.stwTheorieen
dc.titleA note on conditional arbitrage-free maximum entropy densities for simulative option pricing-
dc.type|aWorking Paperen
dc.identifier.ppn614060842en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:faucse:852009en

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