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<!DOCTYPE html>
<html lang="" xml:lang="">
<head>
<meta charset="utf-8" />
<meta name="generator" content="pandoc" />
<meta name="viewport" content="width=device-width, initial-scale=1" />
<meta property="og:title" content="Page not found | 700-prihedgeEmpiricalDensity.knit" />
<meta property="og:type" content="book" />
<script type="text/x-mathjax-config">
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<title>Page not found | 700-prihedgeEmpiricalDensity.knit</title>
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<div style="display: none;">
$$
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<div id="TOC">
<ul>
<li class="has-sub"><a href="#pricing-under-an-objective-density"><span class="toc-section-number">1</span> Pricing under an Objective Density</a>
<ul>
<li><a href="#conditional-entropy"><span class="toc-section-number">1.1</span> Conditional Entropy</a></li>
<li><a href="#relative-entropy-of-uniform-densities"><span class="toc-section-number">1.2</span> Relative Entropy of Uniform Densities</a></li>
<li class="has-sub"><a href="#computation-of-a-risk-neutral-density"><span class="toc-section-number">1.3</span> Computation of a Risk-neutral Density</a>
<ul>
<li><a href="#calculation-of-risk-neutral-density-p"><span class="toc-section-number">1.3.1</span> Calculation of Risk-Neutral Density <span class="math inline">\(P\)</span></a></li>
<li><a href="#matching-market-data"><span class="toc-section-number">1.3.2</span> Matching Market Data</a></li>
<li><a href="#solution"><span class="toc-section-number">1.3.3</span> Solution</a></li>
<li><a href="#solution-1"><span class="toc-section-number">1.3.4</span> Solution</a></li>
<li><a href="#illustration"><span class="toc-section-number">1.3.5</span> Illustration</a></li>
<li><a href="#a-lottery-ticket"><span class="toc-section-number">1.3.6</span> A Lottery Ticket…</a></li>
</ul></li>
<li class="has-sub"><a href="#monte-carlo-pricing-with-historical-paths"><span class="toc-section-number">1.4</span> Monte-Carlo Pricing with Historical Paths</a>
<ul>
<li><a href="#sec:model"><span class="toc-section-number">1.4.1</span> The Model</a></li>
<li><a href="#incorporation-of-bid-ask-spread"><span class="toc-section-number">1.4.2</span> Incorporation of bid-ask spread</a></li>
<li><a href="#extension-to-arbitrary-cash-flows"><span class="toc-section-number">1.4.3</span> Extension to arbitrary cash flows</a></li>
</ul></li>
</ul></li>
</ul>
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</div>
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<div id="page-not-found" class="section level1">
<h1>Page not found</h1>
<p>The page you requested cannot be found (perhaps it was moved or renamed).</p>
<p>You may want to try searching to find the page's new location, or use
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