Pricing American options using a nonparametric entropy approach

DOI10.1155/2014/369795zbMath1422.91731OpenAlexW2038198307WikidataQ59039033 ScholiaQ59039033MaRDI QIDQ2321382

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

Mathematics Subject Classification ID

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

Related Items (3)

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 ⋮ Efficient option pricing in crisis based on dynamic elasticity of variance model

Cites Work

• Unnamed Item
• Assessing the least squares Monte-Carlo approach to American option valuation
• An algorithm for finding the distribution of maximal entropy
• Nonparametric estimation of American options' exercise boundaries and call prices
• Numerical Methods in Finance and Economics
• Real Analysis and Probability
• On Information and Sufficiency
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets

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