Pricing American options using a nonparametric entropy approach
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Publication:2321382
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Cites work
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- An algorithm for finding the distribution of maximal entropy
- Assessing the least squares Monte-Carlo approach to American option valuation
- Nonparametric estimation of American options' exercise boundaries and call prices
- Numerical Methods in Finance and Economics
- On Information and Sufficiency
- On the rate of convergence of discrete-time contingent claims.
- Real Analysis and Probability
Cited in
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- 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
- Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles
- Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean
- Unlocking the black box: non-parametric option pricing before and during COVID-19
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