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Entropic calibration revisited
Journal article   Peer reviewed

Entropic calibration revisited

Dorje C. Brody, Ian R.C. Buckley, Irene C. Constantinou and Bernhard K. Meister
Physics letters. A, Vol.337(4), pp.257-264
11/04/2005

Abstract

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.

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