This article constructs an entropy pricing framework by incorporating a set of informative risk-neutral moments (RNMs) extracted from the market-available options as constraints. Within the RNM-constrained entropic framework, a unique distribution close enough to the correct one is obtained, and its risk-neutrality is deeply verified based on simulations. Using this resultant risk-neutral distribution (RND), a sample of risk-neutral paths of the underlying price is generated and ultimately the European option’s prices are computed. The pricing performance and analysis in simulations demonstrate that this proposed valuation is comparable to the benchmarks and can produce fairly accurate prices for options.

中文翻译：

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熵框架内 RND 和期权定价的风险中性


本文通过将从市场可用期权中提取的一组信息丰富的风险中性矩（RNM）作为约束，构建了一个熵定价框架。在RNM约束熵框架内，获得了一种与正确分布足够接近的独特分布，并通过模拟深入验证了其风险中性。使用所得的风险中性分布 (RND)，生成标的价格的风险中性路径样本，并最终计算欧式期权的价格。模拟中的定价表现和分析表明，所提出的估值与基准相当，并且可以产生相当准确的期权价格。