| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10482069 | Physica A: Statistical Mechanics and its Applications | 2013 | 10 Pages |
Abstract
⺠We describe stock price dynamics with a double stochastic process. ⺠We maximize its information entropy to obtain volatility distribution. ⺠We discuss how the model parameter depend on publicly available information. ⺠We validate the model with a careful comparison with market data. ⺠We produce an analytic expression for return distribution useful to derivative pricing.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Rosario Bartiromo,