A Simple Nonparametric Approach to Derivative Security Valuation
提出一种非参数方法，利用历史时间序列预测主要资产折现价值加累积股利的概率分布，再通过最大熵原理估计风险中性概率，用于定价衍生证券。模拟和实证表明该方法有效。
ABSTRACT Canonical valuation uses historical time series to predict the probability distribution of the discounted value of primary assets' discounted prices plus accumulated dividends at any future date. Then the axiomatically‐rationalized maximum entropy principle is used to estimate risk‐neutral (equivalent martingale) probabilities that correctly price the primary assets, as well as any predesignated subset of derivative securities whose payoffs occur at this date. Valuation of other derivative securities proceeds by calculation of its discounted, risk‐neutral expected value. Both simulation and empirical evidence suggest that canonical valuation has merit.