Entropy as a measure of implied volatility in Options Market

被引：3
|
作者：
Taneja, H. C. [1 ]
Batra, Luckshay [1 ]
Gaur, Pulkit [1 ]
机构：
[1] Delhi Technol Univ, Dept Appl Math, Delhi 110042, India
来源：
THIRD INTERNATIONAL CONFERENCE OF MATHEMATICAL SCIENCES (ICMS 2019) | 2019年 / 2183卷
关键词：
Shannon entropy; stock market volatility; implied volatility; financial markets;
D O I：
10.1063/1.5136222
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
This paper's main contribution is to liken various techniques, one based on the standard deviation, a statistic and one based on the investor's expectation on the future movements of the underlying asset price (implied) and the last, centred on the concept of Shannon entropy. The empirical analysis is carried out so as to find some relationship between the three different approaches.
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收藏
页数：4
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