Simple Entropic Derivation of a Generalized Black-Scholes Option Pricing Model

[摘要] A straightforward derivation of the celebrated Black-Scholes Option Pricing model is obtained by solution of a simple constrained minimization of relative entropy. The derivation leads to a natural generalization of it, which is consistent with some evidence from stock index option markets.

[关键词] option pricing;entropic martingale measure;Black-Scholes;asset pricing