Pricing American options using a nonparametric entropy approach

DOI10.1155/2014/369795zbMATH Open1422.91731OpenAlexW2038198307WikidataQ59039033 ScholiaQ59039033MaRDI QIDQ2321382FDOQ2321382

Xisheng Yu, Li Yang

Publication date: 23 August 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/369795

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Title not available (Why is that?)
• On Information and Sufficiency
• Real Analysis and Probability
• Nonparametric estimation of American options' exercise boundaries and call prices
• On the rate of convergence of discrete-time contingent claims.
• Assessing the least squares Monte-Carlo approach to American option valuation
• Numerical Methods in Finance and Economics
• An algorithm for finding the distribution of maximal entropy

Cited In (4)

• Efficient option pricing in crisis based on dynamic elasticity of variance model
• Canonical least-squares Monte Carlo valuation of American options: convergence and empirical pricing analysis
• Pricing of American carbon emission derivatives and numerical method under the mixed fractional Brownian motion
• Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean

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