Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/29606
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dc.contributor.authorHerrmann, Klausen_US
dc.date.accessioned2009-12-02en_US
dc.date.accessioned2010-01-13T14:06:38Z-
dc.date.available2010-01-13T14:06:38Z-
dc.date.issued2009en_US
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_US
dc.language.isoengen_US
dc.publisher|aUniversität Erlangen-Nürnberg, Lehrstuhl für Statistik und empirische Wirtschaftsforschung |cNürnbergen_US
dc.relation.ispartofseries|aDiskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie |x85/2009en_US
dc.subject.ddc330en_US
dc.subject.keywordMaximum Entropy densityen_US
dc.subject.keywordNo Arbitrage Conditionen_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwArbitrage Pricingen_US
dc.subject.stwEntropieen_US
dc.subject.stwTheorieen_US
dc.titleA note on conditional arbitrage-free maximum entropy densities for simulative option pricingen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn614060842en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:faucse:852009-

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