Empirical pricing American put options

zbMATH Open1239.91163MaRDI QIDQ2888935FDOQ2888935

Authors: László Györfi, Andras Telcs 

Publication date: 4 June 2012

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

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Mathematics Subject Classification ID

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

Cited In (6)

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

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