Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles (Q1678729)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles |
scientific article |
Statements
Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles (English)
0 references
20 November 2017
0 references
option pricing
0 references
multi-period multi-criteria
0 references
Black-Scholes model
0 references
expectation-maximization (EM) algorithm
0 references
entropy optimization
0 references
Monte Carlo simulation
0 references
0 references
