Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles

DOI10.1007/s40995-017-0206-0zbMath1376.91165OpenAlexW2278457050MaRDI QIDQ1678729

Pranesh Kumar, Mohamadtaghi Rahimi, Gholam Hossein Yari

Publication date: 20 November 2017

Published in: Iranian Journal of Science and Technology. Transaction A: Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40995-017-0206-0

zbMATH Keywords

option pricingMonte Carlo simulationBlack-Scholes modelentropy optimizationexpectation-maximization (EM) algorithmmulti-period multi-criteria

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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