Maximum entropy distributions inferred from option portfolios on an asset.
Cassio NeriLorenz SchneiderPublished in: Finance Stochastics (2012)
Keyphrases
- maximum entropy
- joint distribution
- class conditional
- maximum entropy principle
- transaction costs
- markov models
- principle of maximum entropy
- random fields
- random variables
- transformation based learning
- iterative scaling
- maximum entropy model
- conditional random fields
- portfolio selection
- graphical models
- probability distribution
- minimum cross entropy
- financial markets
- semi supervised
- image processing
- learning algorithm