73
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

Conditional entropy distribution of Istanbul stock market value

Pages 1709-1713 | Published online: 05 Mar 2010

References

  • Black , F. and Scholes , M. 1973 . Pricing of options and corporate liabilities . Journal of Political Economy , 81 : 637 – 59 .
  • Buchen , P. W. and Kelly , M. 1996 . The maximum entropy distribution of an asset inferred from option prices . Journal of Finance and Quantitative Analysis , 31 : 143 – 59 .
  • Central Bank of the Republic of Turkey (2007) http://evds.tcmb.gov.tr (http://evds.tcmb.gov.tr) (Accessed: 6 March 2007 ).
  • Cover , T. M. and Thomas , J. A. 1991 . Elements of Information Theory , New York : Wiley Publishers .
  • Fang , S. C. , Rajasekera , J. R. and Tsao , H. S. J. 1997 . Entropy Optimization and Mathematical Programming , Boston : Kluwer Academic Publishers .
  • Geske , R. 1979 . Valuation of compound options . Journal of Financial Economics , 7 : 63 – 81 .
  • Istanbul Stock Exchange (2006) http://www.ise.org/ (http://www.ise.org/) (Accessed: 6 March 2007 ).
  • Jackwerth , J. C. and Rubinstein , M. 1996 . Recovering probability distributions from option prices . The Journal of Finance , 51 : 1611 – 31 .
  • Jaynes , E. T. 1957 . Information theory and statistical mechanics . Physical Reviews , 106 : 620 – 30 .
  • Kapur , J. N. 1989 . Maximum Entropy Models in Science and Engineering , New Delhi, , India : Wiley .
  • Kapur , J. N. and Kesavan , H. K. 1992 . Entropy Optimization Principles with Applications , Boston : Academic Press .
  • Rajasekera , J. R. and Yamada , M. 2001 . Estimating the firm value distribution function by entropy optimization and geometric programming . Annals of Operations Research , 105 : 61 – 75 .
  • Scott , L. O. 1991 . Financial market volatility: a survey . IMF Staff Papers , 38 : 582 – 625 .
  • Shiller , R. J. 1989 . Market Volatility , Cambridge, MA : MIT Press .
  • Stutzer , M. and Chowdhury , M. 1999 . A simple non-parametric approach to bond futures option pricing . Journal of Fixed Income , 8 : 67 – 76 .
  • Turner , A. L. and Weigel , E. J. 1990 . An Analysis of Stock Market Volatility , Tacoma, WA : Russell Research Commentaries, Frank Russell Co .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.