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Extracting pricing densities for weather derivatives using the maximum entropy method.

Antonios K. AlexandridisHenryk GzylEnrique ter HorstGerman Molina
Published in: J. Oper. Res. Soc. (2021)
Keyphrases
  • maximum entropy
  • maximum entropy principle
  • objective function
  • pairwise
  • ground truth
  • cross entropy
  • probabilistic model
  • segmentation method
  • class conditional