| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 9868280 | Physics Letters A | 2005 | 8 Pages |
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.
Related Topics
Physical Sciences and Engineering
Physics and Astronomy
Physics and Astronomy (General)
Authors
Dorje C. Brody, Ian R.C. Buckley, Irene C. Constantinou, Bernhard K. Meister,