Pricing American options : RNMs-constrained entropic least-squares approach
Xisheng Yu, Xiaoke Xie
| Year of publication: |
January 2015
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|---|---|
| Authors: | Yu, Xisheng ; Xie, Xiaoke |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 31.2015, p. 155-173
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| Subject: | Risk-neutral moments | Maximum entropy | Least-squares | American option valuation | Entropie | Entropy | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Kleinste-Quadrate-Methode | Least squares method | Monte-Carlo-Simulation | Monte Carlo simulation | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2014.10.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011514205