Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles (Q1678729)
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scientific article; zbMATH DE number 6809076
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| English | Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles |
scientific article; zbMATH DE number 6809076 |
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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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0.7733402848243713
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0.7565574645996094
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0.7393341660499573
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