Incorporating fat tails in financial models using entropic divergence measures
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- Buchen, Peter W. & Kelly, Michael, 1996. "The Maximum Entropy Distribution of an Asset Inferred from Option Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(1), pages 143-159, March.
- Paul Glasserman & Bin Yu, 2005. "Large Sample Properties of Weighted Monte Carlo Estimators," Operations Research, INFORMS, vol. 53(2), pages 298-312, April.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2012-03-14 (Risk Management)
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