Entropy and Option Pricing

dc.rights.license	CC-BY-NC-ND
dc.contributor.advisor	Dajani, K.
dc.contributor.author	Mooij, M.N.
dc.date.accessioned	2021-09-06T18:00:16Z
dc.date.available	2021-09-06T18:00:16Z
dc.date.issued	2019
dc.identifier.uri	https://studenttheses.uu.nl/handle/20.500.12932/785
dc.description.abstract	This thesis will look at entropy and its applications to option pricing. We will discuss ergodic theory and its connection with entropy. In the second part of this thesis we use entropy to derive an option pricing model. In the end we will use Python to compare this model with the Black-Scholes model. We see that the entropy model gives the same results as the Black-Scholes model.
dc.description.sponsorship	Utrecht University
dc.format.extent	547709
dc.format.mimetype	application/pdf
dc.language.iso	en
dc.title	Entropy and Option Pricing
dc.type.content	Bachelor Thesis
dc.rights.accessrights	Open Access
dc.subject.keywords	entropy; finance; option; ergodic
dc.subject.courseuu	Mathematical Sciences