| Article ID: | iaor20041895 |
| Country: | Greece |
| Volume: | 2 |
| Issue: | 2 |
| Start Page Number: | 157 |
| End Page Number: | 186 |
| Publication Date: | May 2002 |
| Journal: | Operational Research - An International Journal |
| Authors: | Fusai Gianluca, Tagliani Aldo, D'Amico Mauro |
| Keywords: | entropy |
In this paper we discuss the problem of recovering a density from its moments. For theoretical reasons, we propose the use of fractional moments combined with the Maximum Entropy density. We then discuss the application to the pricing of exotic options.