Probability Distributions of Assets Inferred from Option Prices via the Principle of Maximum Entropy.
Jonathan M. BorweinRustum ChoksiPierre MaréchalPublished in: SIAM J. Optim. (2003)
Keyphrases
- principle of maximum entropy
- probability distribution
- maximum entropy
- deterministic annealing
- random variables
- payoff functions
- bayesian networks
- global optimization
- posterior distribution
- conditional probabilities
- data clustering
- objective function
- self organizing maps
- graph cuts
- financial markets
- free energy
- lower bound
- data mining