Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles (Q1678729): Difference between revisions

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Revision as of 17:53, 14 July 2024

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Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles
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    Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles (English)
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    20 November 2017
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    option pricing
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    multi-period multi-criteria
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    Black-Scholes model
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    expectation-maximization (EM) algorithm
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    entropy optimization
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    Monte Carlo simulation
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