Empirical pricing American put options

MaRDI QIDQ2888935zbMATHFDO

Authors László Györfi, Andras Telcs

Publication date 4 June 2012

Full work available at URL http://ebooks.worldscinet.com/ISBN/9781848168145/9781848168145_0006.html

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cited in

(7)

• American options: the EPV pricing model
• American put options with a finite set of exercisable time epochs
• Pricing American options using a nonparametric entropy approach
• The early exercise premium in American options by using nonparametric regressions
• Empirical option pricing: A retrospection
• Semi-parametric estimation of American option prices
• Pricing Bermudan Options Using Regression Trees/Random Forests

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