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摘要翻译：
我们从看涨期权和数字期权价格中得到了资产的最大熵分布。给出了它的存在性和指数形式的严格数学证明，这也可用于证明Buchen和Kelly的形式推导的合法性。我们给出了一个简单而鲁棒的算法，并将我们的结果与他们的结果进行了比较。我们给出的数值结果表明，我们的方法暗示了非常现实的波动率表面，即使只校准在货币期权。最后，我们将我们的方法应用于标准普尔500指数的期权。
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英文标题：
《Maximum Entropy Distributions Inferred from Option Portfolios on an
Asset》
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作者：
C. Neri (Lloyds Banking Group, London, UK) and L. Schneider (EMLYON
Business School, Lyon, France)
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最新提交年份：
2011
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
We obtain the maximum entropy distribution for an asset from call and digital option prices. A rigorous mathematical proof of its existence and exponential form is given, which can also be applied to legitimise a formal derivation by Buchen and Kelly. We give a simple and robust algorithm for our method and compare our results to theirs. We present numerical results which show that our approach implies very realistic volatility surfaces even when calibrating only to at-the-money options. Finally, we apply our approach to options on the S&P 500 index.
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PDF链接：
https://arxiv.org/pdf/0903.4542
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