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| Author: | Edelman, D. |
| Title: | Local cross-entropy |
| Journal: | Risk
2004 : JUL, VOL. 17:7, p. 73-76 |
| Index terms: | derivative securities financial models pricing stock options |
| Language: | eng |
| Abstract: | This article discusses the inconsistency between options traded in exchanges and the Black & Scholes model. The writer aims to address this inconsistency by finding alternative risk-neutral distributions that are more consistent. |
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