Efficient Markets and Contingent Claims Valuation: An Information Theoretic Approach

Efficient Markets and Contingent Claims Valuation: An Information Theoretic Approach

This research article shows how the pricing of derivative securities can be seen from the context of stochastic optimal control theory and information theory. The financial market is seen as an information processing system, which optimizes an information functional. An optimization problem is const...

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Bibliographic Details
Main Author: Jussi Lindgren
Format: Article
Language:English
Published: MDPI AG 2020-11-01
Series:Entropy
Subjects:
information theory
financial markets
entropy
stochastic optimal control
options pricing
Black–Scholes equation
Online Access:https://www.mdpi.com/1099-4300/22/11/1283

Internet

https://www.mdpi.com/1099-4300/22/11/1283

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